The flash portion of the ARM 7 (main NXT processor) is rated for 10,000 cycles. I heard that someone once kept re-downloading the FW to an NXT, and it failed after 8000+ (9000+?) downloads.
I got my first NXT a little over 3 years ago, and have gotten 5 more since then. One of them has a bad screen, but other than that one, they are all in perfect condition.
However, the RCXs are a bit different. Although not really related to this thread, I have seen many many broken RCXs. I have had about 17 broken ones so far, IIRC (intentionally bought them broken). They are usually pretty easy to fix; I have been able to fix all but 2.
As far as sensors, I don't use them a whole lot, but I think I have ever only had 2 that didn't work. One was an ultrasonic sensor, and one was a HiTechnic IR Link. In comparison, I think I have around 20-30 RCX sensors, and probably 40-50 NXT sensors.
If anything brakes (that you bought new), Lego is indeed very good about replacements!
Oh, and there are a couple versions of the NXT that are physically different. The original ones had a daughter board with the buttons and LCD interface. Sometime after the release of the 2.0, Lego revised the brick to have only one PCB (plus the BT module). I haven't seen any of the later ones in person, but I've seen pictures. From the outside, I don't know of any differences, and they are functionally identical (though the newer ones should be more robust).
I'm all for gun control... that's why I use both hands when shooting