A brief write-up:
Over the past 24 years of PC gaming on roughly a dozen or so rigs, I’ve only had a PSU actually fail twice.
Both times, there was no warning.
The first time, there was smoke.
The second time was when I attempted to make a gaming rig out of a brand new clearance-priced eMachine. I put in a great video card, a second HD, more memory, fans, and a bunch of other stuff. I neglected to upgrade the stock Bestec 250 watt PSU however. I’m amazed that it ran well for two years before the PSU finally gave up the ghost, taking out the motherboard along with it. No smoke. No noise. Took me a while to diagnose that I needed both a motherboard and a PSU. I replaced both, and the thing still runs today, ten years later. Back then, I actually finished “Crysis” on it.
Edit: A third time, I was getting a very high-pitched squeal from the PSU, so I replaced it before anything bad happened. Could never figure out what the noise actually was, but it didn’t sound good.
And going back to 1993 or so now, I just remembered that my very first gaming rig went through three PSU’s in a few years. I noticed the entire metal case was getting very hot, and finally noticed that the PSU fan had quit spinning. This happened two more times (I’m assuming that like an idiot, I thought I had to replace the part with an identical part like you do with a car, so I kept buying the same faulty PSU over and over. I finally wised up and got a different brand, and while the PC is now in a closet, the last time I fired it up a few years ago, it still worked).