I used to o/c my Cel 400 Mhz to 450 Mhz, very stable, but the CPU heat increased about 15 - 20%.
Now I have a Cel 1.7 Ghz, and haven't tried to o/c it.... I guest I grew out of that phase.
Overclocking is not purely for speed, but also for the feeling that you had your saying to the marketing of Intel. A few years ago (not sure if it same for today), the P3 and the Celeron were almost the same chip. Purely for marketing purposes, Intel devided them into 2 categories, to have a more $$ and a cheaper version. The thrill of o/c was to get the cheaper version and make it into the $$ version CPU, and show your finger to Intel.
The 50Mhz I queezed out of my Celeron increased the frame rate in my 3-D gaming, but in regular Window uses, no big deal.
If you want to o/c, you should search and read to know what you are doing, because not only you could burn your CPU, you could also fry the peripherals (memories, sound bd, graphic bd...)
Cheers !!
