No matter how messed up a desktop is, you can always format it and reinstall of a live boot. Why can't you do the same thing with a droid?
The risk of really "bricking" a phone is not that high as it may seem, at least with more recent models, as there are multiple levels of safety-guards in place: If you break your regular system, there's a fallback possible to the recovery mode. If that's broken as well, there are things like Fastboot in place. Only if you break the lowest level, and e.g. flash an incompatible radio image (the radio image is the layer bridging the hardware to a software layer, to simplify the explanation -- see also Al's comparision with the PC's BIOS in his comment to your question: if the BIOS is broken, you no longer can start your computer), your device is really "bricked".
To understand the difference, you should also see what is different between installing your "desktop OS" on a computer and flashing your Android device: Installing your desktop OS works on a file level. That is, you boot from e.g. a DVD, and then copy files to your harddisk. On Android, flashing a ROM means to copy the entire file system at once. And you cannot boot a live system from DVD or the like -- especially when newer devices like the Nexus 4 come without even a sdcard slot.