I guess it depends on which model you have. I know my G4 MDD shuts all the drives and fans (the wind tunnel!!!) off when it goes to sleep, but I haven't tried my G4 DA or my B&W G3.
I always leave my computers on but I have a lot of remote access running because of the work I do. I have my PC set up pretty quiet so I can sleep with it running as well, but that dang thing really heats up the place during these summer nights. My G4 MDD is loud as heck-darn, so I'm going to have to work on that if I want to keep it running 24/7.
As far as fans going out and killing some expensive stuff; I've heard of it happen before. I've even seen one guy that had a moth fly into his computer's CPU heatsink fan and kill it, and when he woke up in the morning he had one dead Athlon 64. :/ I'm not too worried about mine, but seeing I paid nearly $1000 for my CPU a year or so ago, I'd really hate to see that happen. :O
The drives are really the only thing I worry about when I leave computers running, but I always run all Seagate drives and I rarely have any issues with failing drives. If you think about it, only mechanical parts in a PC are going to fail more often than not, and the only mechanical parts in a PC are the fans and hard drive/optical drive. Those are the things you have to worry about.