The best bet is to purchase a UPS (uninterruptible Power Supply) which will give you a few minutes of power in case of power failure. They are fairly expensive but are worth it if your data is critical (i.e. business etc...)
You can also set your BIOS so that your computer remains off after power failure. This is helpful in case of multiple power failures during a storm for example, as it will prevent your computer from rebooting automatically and being shut off again.
Although damageable, power cut off are not as bad as power surges which can be eliminate through a good bus bar/regulator. These are much more frequent than black outs.
My gaming machine:
P4 2.8 GHz
2 X 512 MHz PC3200 in dual DDR mode
Intel D865PERL MOBO
integrated 6.1 MAX audio
Logitech duo MX mouse and KB
ATI RADEON 9800 PRO