Destroy a resistor to observe the effects of excessive dissipation. Destroy a red LED to observe the non-linear current characteristic.
Resistors generate heat as current flows through them. If the applied voltage rises too high, they will heat up until they smoke or melt. The power dissipated is the voltage drop multiplied by the current: \(P = V * i\). Since the voltage drop across a resistor is proportional to the current (\(V = i * R\)), the power dissipated can also be expressed as \(P = i^2 * R = V^2 / R\).
The small resistors we use in the lab are rated for 0.25 Watts of dissipation. So for example, a 100 ohm resistor will dissipate 0.25 Watts with an applied voltage of 5V: the current will be 50 mA (5V / 100 ohms), and the power will be 0.25 Watts (5V * 0.050 A). As the voltage increases they will dissipate power according to the square of the voltage, so they will get hotter and hotter and quickly fail.
Resistors are cheap, so this is pretty harmless, even if it smells bad. It is heartbreaking to overvoltage an expensive component and “let out the magic smoke” so it stops working.