Depending on what hardware you have, and what methods of overclocking you use, there is a possibility of damage for nearly each component of your computer system (inside the case).
Your CPU can be affected most easily because that is usually the target of the overclock. But it's not limited to the CPU, you can severely damage everything on your PCI and/or AGP bus, as well as your system memory (RAM).
If you have a motherboard such as the FIC VA-503+ (using this as example because it's what I have), you can have your memory settings seperate from your CPU settings. For example, you can have PC66 SDRAM, running as PC66, while having a 100MHz-FSB CPU running at 100MHZ FSB.
However, my understanding is that alot (if not, most) motherboards don't have this feature, and thus by selecting a higher frontside bus speed, you also increase the operating frequency of the memory, in effect overclocking the memory as well as the CPU, video card, hard drive and anything on the PCI/AGP bus (if you use an odd FSB, which would offset the PCI or AGP frequencies).
"Such as memory or hds?"
I've smelt RAM melt, and I've messed up a Seagate hard drive. I highly doubt it is just coincidence that I happened to be overclocking to 75/83/95/112/124MHz bus speeds. I believe at 112MHz, the PCI frequency is set to approximately 41MHz, the default being 33MHz. That's quite an increase, but for video cards that do not handle overclocking well (I'm sure some fellow AnandTechers would be happy to provide some examples) they may not make it (they'll crap out).
While I was operating at higher FSB settings (too high), I had many blue screens, random reboots and lockups. You don't want this to happen. It can also seriously damage your hard drive, depending on the quality - I wouldn't risk it.
Hope I've helped at all if any.
If I've confused you in any way, please feel free to PM (private message) me and I'd be glad to try to clear it up. The reason being for this is that I may not check back to this thread, and if you want me to clarify anything, it would be best to use that feature (I don't check back everywhere because I'm on a relatively sluggish connection).
Good night,
-RSI