It's not just about crash, boom, bang - everything burns
Well, cheap PSU usually can not handle voltage spikes well, thus there is a good chance it will damage your mobo or fry your hdd should one of those occur. Also, they tend to supply dirt power and damage components over time...
But back to your question - although they don't explode, they can burn pretty well - I handled some burnt computers back in the day, but now... Well... People kinda learned that they aren't so rich that they can buy cheap crap
But it still happens from time to time...
Also, a little horror story: a friend had it's living room burned to a crisp due to a faulty PSU