How an electrical component behave after being exposed to excessive current/voltage?
Resistors:


Causes of Failure: Too much power dissipated resulting in high temperature.
Physical Changes: They may appear discolored or release some smoke.
New State: Open circuit or different resistance value.


Capacitors:


Causes of Failure: Too high of a voltage for any type or a reverse voltage on a polarized type.
Physical Changes: Depends on the type of capacitor. Some burn, some explode, some small ceramic caps may not appear different.
New State: Could be open or short.


Diodes:


Causes of Failure: Too much current flowing through the junction, or too much voltage applied in reverse.
Physical Changes: Larger parts will release their "magic smoke" and may discolor. Smaller parts may not have observable changes.
New State: Often short.


Transistors:


Causes of Failure: Too much current flowing through an device when it is on, too much voltage across a device when it is off, or too much power dissipated when it is in active mode. For a BJT: too much current through the base. For a FET: Too much voltage on the gate. Probably others...
Physical Changes: Larger parts will release their "magic smoke" and may discolor. Smaller parts may not have observable changes.
New State: Depends largely on the device type.


Integrated circuits such as voltage regulators should be thought of in terms of their internal components. For typical regulators the point of failure would be the output transistor.

I realize there are a lot of "maybes" and "depends" in the above, but with experience you will be able to tell what is broken just by the smell of it :)