Historically, there have been a few cases where hardware design flaws have made it possible to directly and immediately damage a machine. In one case, a single-line instruction could cause a computer to short-circuit and catch fire, IIRC. But the cases I heard of were on old 8 bit micros.
Apparently, the term is "Killer Poke", but I just turned that up in a quick Google.
I wouldn't be surprised if these things can happen in embedded systems with buggy drivers for hardware, but it should be difficult to achieve on the most common hardware platforms - firstly because direct access to hardware is controlled, and secondly because these problems should be unusual and very specific to exact hardware platforms anyway. For example, a blow-up-your-graphics-card poke will probably only work for a specific graphics card.
See - http://en.wikipedia.org/wiki/Killer_poke
EDIT - I haven't been able to find any references to 8-bit micros short-circuiting and catching fire from a killer poke - maybe this was just an urban myth I picked up along the way somewhere. But the notes about HCG (Halt and Catch Fire) CPU instructions ( http://en.wikipedia.org/wiki/Halt_and_Catch_Fire ) are fun... The Motorola 6809 processor was used in the Dragon 32, IIRC, so maybe that's what I dimly remember.