For Intel systems:
Its usually other components like the PCI and AGP cards as well as RAM that limit OCing. This is because the multiplier is locked so you must OC by upping the FSB speed, which makes all the other components run above spec.
For AMD systems:
The limit is usually the CPU (and also the mobo and HSF). For these CPUs (Duron/TBird) the multiplier is unlocked, so most of the OCing is done on the CPU itself, with all the other components running at the same spec. The mobo comes in because it supplies the voltage, and the HSF comes in because a hot CPU is not a happy one.
About the AGP speed:
Its determined by dividing your FSB speed. So if you up the FSB speed, the AGP speed will also increase a fraction.