Most parts you purchase come with a Manufacturer's warranty that covers most things except OCing and negligence (ie. tellig the manufacturer you OC'd it before it broke)
Extended warranties really don't do much for you, and the average "gamer" upgrades parts so often it really doesn't make much sense. I agree with the above post that the only component worth it would be an LCD monitor, if the warranty covers dead pixels... which most do not beyond the minimum number of dead pixels in a bunch or a row.