Never had one fail from too much power, but I have had one explode on me when got the power backwards. This was some project I was building on perfboard back when I was in school. I was using ancient electrolytics I scrounged from a stereo because, hey, broke student. They were old enough to not have safety vents, and when I put 12 V but accidentally reversed polarity on the circuit, the shell blew off the cap about 18 inches in front of my face and embedded itself in the ceiling. My wife came out of the other room thinking maybe someone in the apartment below us had gotten shot or something, and I sheepishly said "uh, no, just science."
Lesson learned: MAKE SURE YOU GET YOUR POLARITY RIGHT!
