My first overclocked system was my 466MHz Celeron @ 583MHz. After a while it melted the northbridge chip on my motherboard. After getting a brand new mobo, it ran @ 525 until I sold it. Then I bought 600MHz AMD Duron, had my friend make overvoltage mod on my new motherboard. This CPU ran most of the time @ 1GHz with voltage as high as 2,00V. All I had with this was a basic heatsink with extra case cooling. Now I have a cheap 1,6 P4 chip @ 2,15GHz with retail heatsink.
Heat is not a big problem until you start raising the voltage what you must eventually do, if you want to overclock more than few MHz. Also you should remember that whenever upping the fsb, the chipset also generates more heat.
The risk of something going wrong/broken is always there, but my experiences with overclocking so far have been positive. I intentionally invest on the slowest(cheapest) model of a certain CPU type knowing full well I can overclock it to speeds I can't afford.
Overclockin isn't necessarily harmful for the CPU itself. My brother managed to break his harddisk losing all data on it while trying out too high 83MHz fsb. And as I mentioned in one of my examples, my deceased motherboard melted it's norhbridge.
Sorry for my poor english.