Scuba regulators are essentially "downstream" valves, designed to "hold back" air pressure.
The most common failures from
normal wear and tear is the gradual loss of ability to "hold back" air pressure, and your regulator will begin to "leak" air... usually at one of the soft "seats" already mentioned. As already mentioned, you'll pressurize the reg, and hear a soft hiss, or notice a tendancy for it to freeflow slightly during the dive.
On the other hand, the most
dramatic and
catastrophic failures I know of have occured due to, in order of occurance:
1.) Improper or careless annual service.
2.) Defective part (installed at annual service most likely).
The failures due to 1. and 2. above are the ones that can result in sudden, total loss of air, from such things as under tightened or (often worse) over-tightened key components, damage to parts during installation, defective high pressure seats, etc. Regulators have litteraly "come apart" underwater due to an error by the tech.
Old, unserviced regulators tend to "die gracefully"; regulators that have been serviced "badly" seem to die suddenly.
Choose your tech wisely....
Best wishes.
Edit: Please don't infer from my rant above that I'm recommending not servicing regulators! Just make sure the service is performed by a good tech, and learn to perform frequent inspection and testing
yourself!