There has been fuses in them for as long as I can remember, but they are on the pcb i think.
If the data you need to rescue is very important I strngly recommend spending the whole $20 or so to buy an external hard disk case and do it tha way. Most other methods are going to involve a certain degree of risk, especially if some part is serioulsy damaged as it has the potential to take the whole pc with it.,
For example, on one of my old computers, the power supply exploded, taking hte mobo, the hard disk,ram and the psu of course. Luckily it was under warranty and they replaced it with a larger hdd etc.
Just weigh up the importance of the data, and the degree of risk you are willing to take to get it back vs the money side of it.