On my first builds, none. I did OC a Matrox G400 to the point of memory failure. I have also crushed a few of the old school CPUs that didnt have heatspreaders from the factory in the Socket 462 days.
Didnt keep me from overclocking and then holding the Rage 128 3D Mark record for a few months.
I would say my first hardware failure was possibly an ISA hard drive controller in my i486.
I was about 9yo (~1993) at the time so it was a big deal. My uncle at the time that ran a Computer Store provided a replacement
For context, "back in the day" motherboards needing expansion for everything.. It was basically a 'hub' that all of your card plugged into. You needed a controller card for everything except possibly an AT port for the keyboard. IDE controller for hard drives/cdroms, serial card for your mouse, serial card for your printers, audio card, etc...
Never been 'nervous' about a failing part, its just one of those things
As for your system panicking and shutting down in game, a common cause is overclocked memory.
If you have XMP enabled, turn it off and see if that stabilizes the system. You can then troubleshoot further from there...its a good idea to check the dump logs for the actual error messages.