On the Asguard system that we have been working on, we have a lot of shocks due to the wheel geometry. On this system we were also able to reduce the vibrations on the control side as Mark suggested. This was done through synchronising the wheels in optimal patterns.
The system also has some mechanical design features that reduces the vibrations. Flexible wheels, elestic couplings between the gears and the wheel and locking mechanisms for most of the screws.
The electronics are not rigidly connected to the structure, but use a combination of foam and rubbers to hold them in place. This has worked well so far. We had a lot of problems with connecters however, where we frequently would get micro-fractures on the board connectors, especially on the heavier connectors like firewire. In these cases we had to create mechanical structures to hold the connectors in place, or replace the connectors by lightweight alternatives where possible.
Sensitive components, like for example the IMU and the cameras we have rigidly connected to the system. It is true that this improves the noise on the accelerometers, but the Kalman Filter never had a big problem with it for estimating the orientation. When using short exposure times on the camera, the vibrations are also not much of a problem. From a sensor point of view we really expected much more problems than we actually had.
So I guess the answer to your question is that it really depends on your system, and as we have seen in our case that often you do not even need to protect your components from vibration too much.