I am here to share my experience of overclocking. I have my first PC for Intel Celeron 300 (non-A) version and Gigabyte motherboard. The celeron could go up to 450MHz with 100MHz FSB. But it can't remain stable since it is too hot to run at 450MHz at default voltage. So I make it running at 373MHz all the time with gaming and SETI@Home. I found no problems with overclocking at that stage. And I am happy with the increase of 24% in the clock too.

The second rig I bought is AMD Athlon XP 1800+ (Palomino) and Epox 8KHA+ motherboard. Since it is the earlier version of Athlon XP it is not happy to run at higher speed. I did not overclock it. After 1 year ++ the power supply unit come with the casing burnt and I had my motherboard fried. That time only I realized that there are severals bolted capacitors on my motherboard.
Later, I bought an Asus A7V8X-X and iCute 450W power supply. It runs very stable. I replaced the bolted capacitors and the power socket on the Epox motherboard and went to try to boot up. Unluckily I burn the processor and sent to claim for a new one. AMD replaces me with a Thoroughbred B 1800+ version. The overclocking ability is much higher than Palomino one.
Now I have this Thoroughbred B running at 2104MHz @ 1.75V (11.5*183) all the time without problem. But provided the vendalation is good enough and the ambient temperature is not too hot.
Here I would like to say that overclocking has not much effects on the durability of the processor, motherboard or PSU provided they are quality one. Do NOT overclock your processor when you're not sure that whether your PSU could supply enough constant voltage to your motherboard and processor. Make sure you have good cooling and good power supply before overclock.