diff --git a/gpiozero/input_devices.py b/gpiozero/input_devices.py
index 20f51bf..1ce2c88 100644
--- a/gpiozero/input_devices.py
+++ b/gpiozero/input_devices.py
@@ -63,18 +63,22 @@ class InputDevice(GPIODevice):
         self._inactive_state = GPIO.HIGH if pull_up else GPIO.LOW
         pull = GPIO.PUD_UP if pull_up else GPIO.PUD_DOWN
 
-        # NOTE: catch_warnings isn't thread-safe but hopefully no-one's messing
-        # around with GPIO init within background threads...
-        with warnings.catch_warnings(record=True) as w:
-            GPIO.setup(pin, GPIO.IN, pull)
-        # The only warning we want to squash is a RuntimeWarning that is thrown
-        # when setting pins 2 or 3. Anything else should be replayed
-        for warning in w:
-            if warning.category != RuntimeWarning or pin not in (2, 3):
-                warnings.showwarning(
-                    warning.message, warning.category, warning.filename,
-                    warning.lineno, warning.file, warning.line
-                )
+        try:
+            # NOTE: catch_warnings isn't thread-safe but hopefully no-one's
+            # messing around with GPIO init within background threads...
+            with warnings.catch_warnings(record=True) as w:
+                GPIO.setup(pin, GPIO.IN, pull)
+            # The only warning we want to squash is a RuntimeWarning that is
+            # thrown when setting pins 2 or 3. Anything else should be replayed
+            for warning in w:
+                if warning.category != RuntimeWarning or pin not in (2, 3):
+                    warnings.showwarning(
+                        warning.message, warning.category, warning.filename,
+                        warning.lineno, warning.file, warning.line
+                    )
+        except:
+            self.close()
+            raise
 
     @property
     def pull_up(self):
@@ -238,13 +242,17 @@ class DigitalInputDevice(WaitableInputDevice):
     """
     def __init__(self, pin=None, pull_up=False, bounce_time=None):
         super(DigitalInputDevice, self).__init__(pin, pull_up)
-        # Yes, that's really the default bouncetime in RPi.GPIO...
-        GPIO.add_event_detect(
-            self.pin, GPIO.BOTH, callback=self._fire_events,
-            bouncetime=-666 if bounce_time is None else int(bounce_time * 1000)
-        )
-        # Call _fire_events once to set initial state of events
-        super(DigitalInputDevice, self)._fire_events()
+        try:
+            # Yes, that's really the default bouncetime in RPi.GPIO...
+            GPIO.add_event_detect(
+                self.pin, GPIO.BOTH, callback=self._fire_events,
+                bouncetime=-666 if bounce_time is None else int(bounce_time * 1000)
+            )
+            # Call _fire_events once to set initial state of events
+            super(DigitalInputDevice, self)._fire_events()
+        except:
+            self.close()
+            raise
 
     def _fire_events(self, channel):
         super(DigitalInputDevice, self)._fire_events()
@@ -287,13 +295,19 @@ class SmoothedInputDevice(WaitableInputDevice):
             queue_len=5, sample_wait=0.0, partial=False):
         self._queue = None
         super(SmoothedInputDevice, self).__init__(pin, pull_up)
-        self._queue = GPIOQueue(self, queue_len, sample_wait, partial)
-        self.threshold = float(threshold)
+        try:
+            self._queue = GPIOQueue(self, queue_len, sample_wait, partial)
+            self.threshold = float(threshold)
+        except:
+            self.close()
+            raise
 
     def close(self):
         try:
             self._queue.stop()
         except AttributeError:
+            # If the queue isn't initialized (it's None) ignore the error
+            # because we're trying to close anyway
             if self._queue is not None:
                 raise
         except RuntimeError:
@@ -398,7 +412,11 @@ class MotionSensor(SmoothedInputDevice):
             pin, pull_up=False, threshold=threshold,
             queue_len=queue_len, sample_wait=1 / sample_rate, partial=partial
         )
-        self._queue.start()
+        try:
+            self._queue.start()
+        except:
+            self.close()
+            raise
 
     motion_detected = _alias('is_active')
 
@@ -425,12 +443,16 @@ class LightSensor(SmoothedInputDevice):
             pin, pull_up=False, threshold=threshold,
             queue_len=queue_len, sample_wait=0.0, partial=partial
         )
-        self._charge_time_limit = charge_time_limit
-        self._charged = Event()
-        GPIO.add_event_detect(
-            self.pin, GPIO.RISING, lambda channel: self._charged.set()
-        )
-        self._queue.start()
+        try:
+            self._charge_time_limit = charge_time_limit
+            self._charged = Event()
+            GPIO.add_event_detect(
+                self.pin, GPIO.RISING, lambda channel: self._charged.set()
+            )
+            self._queue.start()
+        except:
+            self.close()
+            raise
 
     @property
     def charge_time_limit(self):
diff --git a/gpiozero/output_devices.py b/gpiozero/output_devices.py
index 6c08d72..ad3acc7 100644
--- a/gpiozero/output_devices.py
+++ b/gpiozero/output_devices.py
@@ -22,18 +22,22 @@ class OutputDevice(GPIODevice):
     """
     def __init__(self, pin=None):
         super(OutputDevice, self).__init__(pin)
-        # NOTE: catch_warnings isn't thread-safe but hopefully no-one's messing
-        # around with GPIO init within background threads...
-        with warnings.catch_warnings(record=True) as w:
-            GPIO.setup(pin, GPIO.OUT)
-        # The only warning we want to squash is a RuntimeWarning that is thrown
-        # when setting pins 2 or 3. Anything else should be replayed
-        for warning in w:
-            if warning.category != RuntimeWarning or pin not in (2, 3):
-                warnings.showwarning(
-                    warning.message, warning.category, warning.filename,
-                    warning.lineno, warning.file, warning.line
-                )
+        try:
+            # NOTE: catch_warnings isn't thread-safe but hopefully no-one's
+            # messing around with GPIO init within background threads...
+            with warnings.catch_warnings(record=True) as w:
+                GPIO.setup(pin, GPIO.OUT)
+            # The only warning we want to squash is a RuntimeWarning that is
+            # thrown when setting pins 2 or 3. Anything else should be replayed
+            for warning in w:
+                if warning.category != RuntimeWarning or pin not in (2, 3):
+                    warnings.showwarning(
+                        warning.message, warning.category, warning.filename,
+                        warning.lineno, warning.file, warning.line
+                    )
+        except:
+            self.close()
+            raise
 
     def on(self):
         """
@@ -158,12 +162,16 @@ class PWMOutputDevice(DigitalOutputDevice):
     """
     def __init__(self, pin=None):
         super(PWMOutputDevice, self).__init__(pin)
-        self._frequency = 100
-        self._pwm = GPIO.PWM(self._pin, self._frequency)
-        self._pwm.start(0)
-        self._min_pwm = 0
-        self._max_pwm = 1
-        self.value = 0
+        try:
+            self._frequency = 100
+            self._pwm = GPIO.PWM(self._pin, self._frequency)
+            self._pwm.start(0)
+            self._min_pwm = 0
+            self._max_pwm = 1
+            self.value = 0
+        except:
+            self.close()
+            raise
 
     def on(self):
         """
@@ -195,13 +203,11 @@ class PWMOutputDevice(DigitalOutputDevice):
     def value(self, n):
         _min = self._min_pwm
         _max = self._max_pwm
-        if _min <= n <= _max:
-            dc = n * 100
-        else:
-            raise GPIODeviceError(
+        if not _min <= n <= _max:
+            raise OutputDeviceError(
                 "Value must be between %s and %s" % (_min, _max)
             )
-        self._pwm.ChangeDutyCycle(dc)
+        self._pwm.ChangeDutyCycle(n * 100)
         self._value = n