1) You can put a whole bunch of weight in the base. (This is the route that Willow Garage seems to be going. They have a huge lead acid battery in the base. The advantage of this is that it is static and 'always on'. The disadvantage is that your robot has to be really heavy.
2) You can be dynamically stable. With this approach when you are bumped you use your drive system to actively deal with the disturbance. The advantage of this is you can deal with much larger disturbances (http://www.youtube.com/watch?v=mkzgglYjNvY) The disadvantage is that it only works when there is power.
I totally agree on the battery failure scenario and it is something we have thought about a lot. We have a separate board that just does the balancing and it has a separate Ultra-capacitor power supply that can power the drive system for several minutes; long enough to put our kickstand down and sit. You can crash the main CPU and pull the batteries out and the robot will sit safely.
I don't know if self balancing is for sure better than statically stable, but I think it is less clear cut than what you imply.
-Benjie (Engineer at Anybots, obviously)