Well I've had some crispy ones, others were less noticeable. I forget where the one pic I have is, but there was some caked on neoprene insulation from a peltier/watercooling setup I had going. That was nasty and smelled horrendous. Most were because of too much voltage or an improperly mounted piece of cooling. Mind you it's not like they all died the first time I put the cooling on. All except my first happened only after putting the processors through hell :D
As for the "taking the HSF off while the CPU is running" bit. No I haven't done that. But the first CPU I fried when I was building my first computer, it was a 1.2ghz Tbird and I *RESTED* an aluminum orb heatsink on the cpu. Rested, not attached. And that thing poofed a bit of smoke lol
Have I ever had one aspldoe like that? No. And quite honestly I just don't see how anything like that could happen.. for it to blow through the bottom of the motherboard.
Silicon is tough stuff. Especially in layers as in PCB and processors.