Any appliances that are built into your home are covered under the dwelling portion of your policy. Smaller window air conditioning units are covered under the personal property portion. So in most cases, your air conditioner and furnace will be covered if they are damaged due to a covered peril such as fire or lightning. They will not be covered in the event of an earthquake or flood, unless you have purchased additional endorsements for these perils.
Many carriers offer mechanical breakdown coverage for household appliances and computers at a nominal cost. This will protect your appliances in the event of a loss due to a power surge, which your homeowners policy most likely won’t cover.