They have a thrust bearing that can be replaced, several seals that can be replaced too. Most turbos dont go bang as such. They tend to wear out the thrust bearing and oil seals, and in most cases just start to smoke. If you catch them at this stage early enough then these parts can be replaced by someone like turbo dynamics etc.
Most turbos use a bearing called a journal bearing. This is in effect a shaft in a tube with the impeller wheel (compressor end) and a turbine wheel (exhaust side) at the other. The way it works is that the shaft 'floats' in a thin layer of oil that is trapped between the spinning shaft and the tube. If the seals fails then the layer of oil thins out and the shaft and the tube make contact wearing them out, and in bad cases the impeller wheel can make contact with the compressor housing and really screw it up.
On most turbos you can feel the condition of the shaft by holding the nut on the compressor wheel and giving a wiggle, there should only be a fraction of a millimetre play (there's play because the oil will have drained out of the turbo whilst the engine isn't running).
The thrust bearing is to stop the compressor wheel pulling out of the turbo. You have to imagine that the compressor wheel is like a propeller, as it spins it wants to pull itself out of the housing. The thrust bearing stops this. Imagine the shaft of the turbo has a small step in it and that the thrust bearing is a washer that acts against the step. Most thrust bearings are like a washer with a section cut out, 360 degree thrust bearing don't have the cut out and are there for better at stopping compressor wheel lift but are more difficult to fit which is why commercial turbos don't use them.
I hope that helps a bit and that i haven't bored you to much
