First off, you should know there's a difference between soft-bricking and hard-bricking your phone.
Soft-bricking is what you can accomplish by flashing a bad ROM, incorrect kernel, or messed up framework. In every case I've run across, soft-bricking has been recoverable. I have only run across people who have soft-bricked their phones in the year that I've been rooted.
Hard-bricking is a condition where a very low-level system such as the radios or HBOOT has become corrupted. It is very difficult to hard-brick a phone; I'm told the only way to do this is to yank the battery while flashing a radio or HBOOT, which is something nobody is likely to do. Hard-bricking a phone requires it to be sent back to the manufacturer to reflash it. As stated before, I have never run across anyone that has managed to do this level of brickage.
Before you dive into rooting, learn what Nandroid backups are. If you have a valid Nandroid backup on your phone, you can generally recover your phone without the help of a computer, and you can usually skip all of the steps listed below.
Rule of thumb: Make a Nandroid and keep one copy of it on your computer and one on your phone.
Problems after flashing a kernel
You've flashed a new kernel and now the phone won't boot or can't stay running long enough to download another one. Or perhaps the WiFi and 4G refuse to work so you can't download a new kernel.
If you're experiencing this, the kernel is probably not compatible with your ROM (i.e., you flashed a Sense kernel for an AOSP ROM, or vice versa).
Hopefully you have a Nandroid and can restore right back to it, but if not, here are some methods to get your phone back up and running:
Clear the dalvik and cache. Some kernels will not function correctly with old dalvik or cache data in place. You should have been instructed to do this prior to flashing a kernel, but if you were not, make sure to try this first. Sometimes a simple dalvik clean will make it work properly.
Download a new kernel on your computer, and transfer it to the EVO by mounting it as a drive. Then re-flash the kernel.
Should you be unable to mount as a disk drive because the phone is not capable of staying on long enough to mount it or the USB just simply refuses to work properly, you can boot into recovery and use the command adb push kernel.zip /sdcard/ from your computer, where "kernel.zip" is whatever the name of your newly downloaded kernel is. This will push that file onto the root of your SD card so you can flash the new kernel from there.
Problems after flashing a ROM
Although the first step to flashing a ROM should always be "make a Nandroid backup" so that you the ability to restore your old phone, let's assume your ROM deleted everything on the SD card and wiped out all your Nandroids for some reason. Or perhaps you accidentally formatted the SD card as opposed to clearing the cache. Or maybe you just didn't make a backup.
In any case, your ROM won't boot. You can get to recovery to flash another ROM but everything's gone. Try this:
Download a different ROM on your computer (you can find a list of a few ROMs that don't cause a lot of problems on the State of Root page). Use adb push romname.zip /sdcard/ from a command prompt on your computer. When it gets done, recovery should be able to locate that ROM on the SD card and flash it.
Phone refuses to behave after overclocking
Turn the phone off, take the battery out, and let it sit for a minute.
If you overclocked via SetCPU, turn on the phone and hold down the home key on your phone until the phone is booted completely up. This is "safe mode." Now disable whatever you used to overclock or underclock.
If you've used a different method to overclock, you may just have to wipe and reinstall your ROM. Either way, you're not bricked.
Can't get to recovery, can't boot
There may come a time where you manage to kill your recovery partition and the data and ROM partitions. At this point the only place you can get to is Fastboot/HBOOT via power+vol down.
At this point you have a phone with one program running on it that's not particularly useful. There are two directions you can go here.
1) Put a PC36IMG.ZIP (EVO 4G) or PG86IMG.ZIP (EVO 3D) onto the root of the SD card so that the bootloader will run it. I will refer to these flavors as P??6IMG.ZIP from here on out - substitute "C3" or "G8" for your phone. Most recoveries out there come in two flavors - IMG and P??6IMG.ZIP files. P??6IMG.ZIP files can be flashed from bootloader/fastboot. You can reinstall a recovery and a ROM this way. You'll need to get the P??6IMG.ZIP files to the root of the SD card. You can do this with a $5 USB to microSDHC adapter or by using the command adb push P??6IMG.ZIP /sdcard/ while the phone is booted and in fastboot/bootloader.
OR
2) Flash a recovery from fastboot and then flash a new ROM. The basics of the fastboot.exe interface program on a PC are fastboot flash recovery recovery.img. You'll get the recovery image from the developer's website or a mirror—be it ClockworkMod, Amon Ra, Team Win, or whatever—and place it in the same directory as fastboot.exe on your computer and run it from there. Once recovery is installed, you can push a new ROM via adb push myrom.zip /sdcard/ and then flash it via recovery.
In other words...
As long as your EVO can get to the bootloader, there's a way to get it up and running again. If you manage to knock out the bootloader, there's still a way to recover it, but that's beyond what I've ever run across.
Soft-bricking is what you can accomplish by flashing a bad ROM, incorrect kernel, or messed up framework. In every case I've run across, soft-bricking has been recoverable. I have only run across people who have soft-bricked their phones in the year that I've been rooted.
Hard-bricking is a condition where a very low-level system such as the radios or HBOOT has become corrupted. It is very difficult to hard-brick a phone; I'm told the only way to do this is to yank the battery while flashing a radio or HBOOT, which is something nobody is likely to do. Hard-bricking a phone requires it to be sent back to the manufacturer to reflash it. As stated before, I have never run across anyone that has managed to do this level of brickage.
Before you dive into rooting, learn what Nandroid backups are. If you have a valid Nandroid backup on your phone, you can generally recover your phone without the help of a computer, and you can usually skip all of the steps listed below.
Rule of thumb: Make a Nandroid and keep one copy of it on your computer and one on your phone.
Problems after flashing a kernel
You've flashed a new kernel and now the phone won't boot or can't stay running long enough to download another one. Or perhaps the WiFi and 4G refuse to work so you can't download a new kernel.
If you're experiencing this, the kernel is probably not compatible with your ROM (i.e., you flashed a Sense kernel for an AOSP ROM, or vice versa).
Hopefully you have a Nandroid and can restore right back to it, but if not, here are some methods to get your phone back up and running:
Clear the dalvik and cache. Some kernels will not function correctly with old dalvik or cache data in place. You should have been instructed to do this prior to flashing a kernel, but if you were not, make sure to try this first. Sometimes a simple dalvik clean will make it work properly.
Download a new kernel on your computer, and transfer it to the EVO by mounting it as a drive. Then re-flash the kernel.
Should you be unable to mount as a disk drive because the phone is not capable of staying on long enough to mount it or the USB just simply refuses to work properly, you can boot into recovery and use the command adb push kernel.zip /sdcard/ from your computer, where "kernel.zip" is whatever the name of your newly downloaded kernel is. This will push that file onto the root of your SD card so you can flash the new kernel from there.
Problems after flashing a ROM
Although the first step to flashing a ROM should always be "make a Nandroid backup" so that you the ability to restore your old phone, let's assume your ROM deleted everything on the SD card and wiped out all your Nandroids for some reason. Or perhaps you accidentally formatted the SD card as opposed to clearing the cache. Or maybe you just didn't make a backup.
In any case, your ROM won't boot. You can get to recovery to flash another ROM but everything's gone. Try this:
Download a different ROM on your computer (you can find a list of a few ROMs that don't cause a lot of problems on the State of Root page). Use adb push romname.zip /sdcard/ from a command prompt on your computer. When it gets done, recovery should be able to locate that ROM on the SD card and flash it.
Phone refuses to behave after overclocking
Turn the phone off, take the battery out, and let it sit for a minute.
If you overclocked via SetCPU, turn on the phone and hold down the home key on your phone until the phone is booted completely up. This is "safe mode." Now disable whatever you used to overclock or underclock.
If you've used a different method to overclock, you may just have to wipe and reinstall your ROM. Either way, you're not bricked.
Can't get to recovery, can't boot
There may come a time where you manage to kill your recovery partition and the data and ROM partitions. At this point the only place you can get to is Fastboot/HBOOT via power+vol down.
At this point you have a phone with one program running on it that's not particularly useful. There are two directions you can go here.
1) Put a PC36IMG.ZIP (EVO 4G) or PG86IMG.ZIP (EVO 3D) onto the root of the SD card so that the bootloader will run it. I will refer to these flavors as P??6IMG.ZIP from here on out - substitute "C3" or "G8" for your phone. Most recoveries out there come in two flavors - IMG and P??6IMG.ZIP files. P??6IMG.ZIP files can be flashed from bootloader/fastboot. You can reinstall a recovery and a ROM this way. You'll need to get the P??6IMG.ZIP files to the root of the SD card. You can do this with a $5 USB to microSDHC adapter or by using the command adb push P??6IMG.ZIP /sdcard/ while the phone is booted and in fastboot/bootloader.
OR
2) Flash a recovery from fastboot and then flash a new ROM. The basics of the fastboot.exe interface program on a PC are fastboot flash recovery recovery.img. You'll get the recovery image from the developer's website or a mirror—be it ClockworkMod, Amon Ra, Team Win, or whatever—and place it in the same directory as fastboot.exe on your computer and run it from there. Once recovery is installed, you can push a new ROM via adb push myrom.zip /sdcard/ and then flash it via recovery.
In other words...
As long as your EVO can get to the bootloader, there's a way to get it up and running again. If you manage to knock out the bootloader, there's still a way to recover it, but that's beyond what I've ever run across.
