Nice to see some interest here...
Sound advice regarding going overboard, and practically every site dedicated to overclocking has a disclaimer somewhere. Whatever you try, you will void your CPU warranty for sure, so don't even think about taking the black crispy CPU back and complaining
On the other hand,
of course CPU manufacturers are going to warn you off overclocking, as they risk losing out on money.
ALL CPUs are manufactured with the ability to run at much higher speeds (for rerasons of economy when mass producing), but are modified or "clock locked" to categorise them. It is finding the ways to unlock newer CPUs that make it so easy and attractive.
Cooling enhancements are an absolute MUST, even for regular, unclocked Duron/Thunderbird chips. You may well get a free heatsink/fan combination "free" but consider either keeping it as a spare or asking the shop to keep it and give a discount on a better one. Case cooling is also important, to get rid of the hot air building up inside, or at least keep it moving. A bigger case is the best bet - don't be tempted to squeeze everything into a tiny good-looking case!
It's really not as worrisome or hard as it was, and reading up will give a much better picture. It'll help you decide whether or not to have a go and if so, how far to go.
The links from ORAC are a fine start, or simply enter "overclocking" into your favourite search engine and see the reams of sites and links. My bookmarks are on the home PC but will have a gander and add some later here as an edit. Some spring to mind:
http://www.tomshardware.com http://www.anandtech.com http://www.athlonoc.com
I'd be more than happy to answer any emails on the subject or share self-learned tips, so feel free sledge and others - but am in no way an expert on the topic, just a keen tryer
I'll leave the experts to dazzle you with their knowledge!
Good luck and tread carefully.
Sq