What happens when a power supply goes out?

It's usually just the PSU, unless a power spike happens.

Depends sometimes it can take everything sometimes just itself.

It depends.

A low quality power supply may die and take out a few components with it because of a huge ripple spike.

A good quality power supply should just shut down.

A low-end PSU without a decent protection set can kill the whole computer when it dies. It happened to an old eMachines of mine, and I've seen it happen to others.

A high-end PSU will cause little or no damage when it fails.

When my Antec 500 died, the system started locking up while gaming, and eventually would lock up when booting too. Replaced with a Corsair 750 and fixed the problem. So in my case it was just the PSU

It depends. When my Corsair VX450 went out, it didn't do any damage to the rest of the computer, the rig just refused to power on. This is an example of what happens with a good PSU.

When my "PowerUp" 800W PSU went out, it did so with sparks, and took out the motherboard, hard drive, and DVD drive. This is what a bad PSU does.

If a PSU starts to fail, you will experience random instabilities at load and even idle. (lock-ups, reboots, etc). Gaming/WCG/[email protected] is a good way to test this.

This is one of the many reasons I only go for high-quality PSUs now.