Fried power supply (that sucker gets HOT after a little while) and sometimes it will take the C64 with it. I went through three C64's in the 1980's because of that crappo power supply. If you use C64 hardware, you need a power supply with voltage over-regulation or you're risking it.
When it comes to the power-on warning for consoles, i've accidentally taken out and inserted cartridges into 2600's and Colecovisions with power on and luckily haven't had any problems - pretty lucky compared to some others.