I have seen / heard horror stories of southbridges catching fire, fried mobos, fried (magic smoke emitting) power supplies and I used to see my fair share go up before I started buying quality supplies for every system. Think about it - the power supply is responsible for taking 120v AC current (in the US) and converting it to 5 and 12 volts (mostly) while keeping everything within range - filtering out noise, over current, under current (which is constantly fluctuating) and preventing shorts or any kind of hazard. This is asking a lot from a power supply made for under $5 - and power supplies have quite a few components - any number of which failing could prove disastrous to your $500+ computer(s). Less likely but they could fail when you need them most - in the middle of a critical PvP match or accepting a quest - etc.

You only think you are saving money when you buy a $30 case with power supply.

Toms did a great review on power supplies:

http://www.tomshardware.com/2005/07/11/stress_test/

Some my work right away but WILL fail eventually. The only question is when and how much damage they will do when they fail. Please, buy good supplies - they are WELL worth the money.

This bears repeating. Don't skimp on cheap power supplies. Especially if you intend to run them continually or at near their rated capacity or want them to protect your system.