If the power goes out while the machine is writing to the hard drive (and remember OS X does this a lot in the background) there's a chance that whatever file it was writing will be damaged. And of course you'll lose any unsaved work.
If the damage occurs in a System file, there's also a chance you'll have a problem rebooting, and have to do a Disk Utility Repair and reinstall (Archive and install) from the OSX DVD.
If this bothers you unduly, buy a battery back up power supply (also known as a UPS) for $60 - $150 depending on quality and capacity.
THanks
Trevor
CanadaRAM.com