Two really bad things have happened to me.
When I was building my box about six months ago, I realized I didn't have a heatsink. My dad said "Just turn it on anyways, it won't hurt!" Obviously it did. I blew my processor.
So a couple of weeks later I get a new processor (and a heatsink). I put everything in the case, and turned it on. THE MEMORY SOCKET CAUGHT ON FIRE!!! Luckily the memory was still usable, so I was able to use it on my new mobo.