Personally, I like my fried procs batter-dipped. Mmmmm, batter dipped...
Intel, for example, will certify the chips clock speed by testing it to a certain speed and then locking the multiplier, if that's the "burn in" you're referring to. This isn't necessarily taken to the extremes that we overclockers would push the chip though. If you're talking about a system builder "burning in" a system, they don't overclock it. They just let it run under load for a set time period, usually 24 hours, to see if the system appears stable. They build their rigs to the part manufacturer's specs, so nothing is (normally) pushed beyond its normal operating parameters.
Intel is usually pretty good about RMAing burnt procs. It's pretty tough to prove that a chip was OCed. However, you also void the warranty if you run it at out of spec voltages, use it with a slotket made by a company other than the one who made your mobo, don't use an Intel HS/Fan combo, don't use their thermal pads, etc., etc. OEM chips are only warrantied for 30 days anyway, I think.
If you're trying to get the OEM system builder (i.e. Dell, Compaq, et al) to take the chip back, if they're good they'll do it themselves. If they're a pain they'll probably have you go through Intel/AMD directly.
On the CPU owners side, it all comes down to a moral question of whether the failure is legitimate, or if you simply pushed the proc too far or did something else silly. If you overclock, you void the warranty, PERIOD, so be prepared to pay the piper.