Most people who overclock consider the risk of damaging the CPU due to overheating. But the other more subtle risk is computational errors introduced by running the chip faster than its rated for. Most people may dismiss these errors, until they happen in Quicken! (of course its still not very likely).
For a graphic example of the problem of bad calculations, take a look at the SETI@home newsletter #7. Scroll down to figure 3, and read the text above it. Proof positive that overclocked processors do make mistakes.