If you overclock too high, your system will lock up. If you overclock WAY too high, you can burn your chip up. Overclocking always carries the risk of CPU failure. I have an AthlonXP 1700+ on a Soyo Dragon Plus, and I currently run at 140FSB, with the multiplyer locked. Thus, I get 11*140=1540 MHz, or slightly above 1800+ speeds. I've run stable at 143 FSB, or 1573 MHz. When I went to 146 FSB (1606 MHz, or 1900+ speeds), I could boot into Windows, but the computer would freeze after about an hour. Raising my CPU voltage only made it crash faster, which leads me to believe it's due to heat. To be on the safe side, I went down to 1800+ speeds.
Whatever you do, do NOT just raise the FSB to a high speed. Start in small steps. First, run the computer for a few days at stock speed to make sure it's working fine without overclocking. Then raise the FSB to 136 or 137. Test the stability with a tough crunching program like SETI or Prime95. Running a 3D app like 3DMark is a good idea too. Run these programs for a few hours to see if it's stable. If so, bump another 3MHz or so to 140...then test again. Keep going up small increments until you experience lockups, then see if raising the voltage a bit will help the stability...sometimes it does, especially if you have good cooling.
I prefer not to stress my chip all that much, since it's plenty fast enough at 1540 MHz. If I get a new HSF like the AX-7, I might go for 1606 again.