You got problems if you have a crappy fan. While it is true that P4's can slow themselves down when the fan dies, there are options in most BIOS that allow them to shutdown if it gets too hot.
The chance of a fan dying is very unlikely, but possible
Not really the main reason someone shouldn't buy a AMD cpu as speedstep didn't start showing up for the desktop until later model PIIIs were introduced. We all know that even a 200Mhz cpu can fry itself if the fan dies. So that feature not being available obviously didn't stop millions of people from buying those other cpus.
~klinky