I've seen every single component of a system fail, the least I've seen fail has been the CPU itself (I've only seen one fail out of thousands).
Memory seems to fail pretty commonly overall, less common than harddisks but more common than motherboards.
The issue is that I'm used to using ECC ram, which fails loud when it's actually bad.. consumer memory won't tell you unless you can't boot.. and everyone disables the startup memory testing too.. (in fact, I think it's disabled by default for the last 10 years because people want to boot quickly).
I was so sure that a CPU wouldn't suddenly fail that I ended up replacing every other part in my computer before getting a new CPU and realizing that was the issue.