One of the benefits of having a laptop is that when the power goes out, it simply switches over to battery power and there's no harm done. But if you happen to experience a California brownout--or even an ill-timed kick to the power cord under your desk--you'll notice that desktops react somewhat differently.
Even with all of the great autosave technology out there, a power outage can cost you hours upon hours of work. So if you've experienced one before or aren't willing to risk such a loss, consider getting what basically amounts to a backup battery for your desktop, AKA an uninterruptible power supply. Right now, you can get a pretty decent one from Buy.com for $130 that comes with 8 plugs, can handle 1500 volts, and will last up to two hours. If your blackout lasts longer than that, you can at least save your work. Or, if you're really worried,--say, your desktop doubles as your pacemaker or you live in Baghdad--you could extend the life of your power supply by upgrading to a full car battery with this DIY kit.