High-speed operation doesn't usually cause your overclocked CPU to fail. It's heat. When you increase the clock speed, you also increase the amount of energy that the processor consumes; much of that energy ends up as heat. The cooling fan and heat sink supplied with your computer's CPU are adequate for normal operation, but once you start overclocking, you're going to need a more effective cooling system. Eventually, the CPU might reach a clock rate that it can't handle, but the system will probably overheat before it gets to that point. Your local computer parts retailer might have a few kinds of CPU coolers in stock, but if you're really serious about overclocking, you should go to one or more of the specialist retailers who sell high-performance cooling products through the Internet.
Along with the retailers, the Internet can also take you to Web sites created by dedicated overclocking enthusiasts, who have tried all of the standard (and many unusual) cooling techniques. Before you replace your existing CPU cooler, it's worth the time to explore the Web sites that have tested dozens of different cooling products and published the results.
The most common CPU cooling method is a two-step process: a conductive metal object with a large surface area (a heat sink) dissipates the heat from the CPU chip, and a fan blows the heat away from the heat sink. The standard-issue heat sink is usually made of aluminum, which is moderately conductive. To create a more effective heat sink, you can increase the surface area, replace the aluminum with a more conductive metal such as copper or silver, or a combination of both a bigger surface and a different metal.
The main alternatives to a simple heat sink and fan are water-based coolers and thermoelectric modules called Peltier elements. A water cooler works like the radiator in your car: a small pump circulates water through a set of tubes and hoses between a conductive block next to the CPU and a radiator that dissipates the heat. Thermoelectric elements are heat pumps that use an electric current to transfer heat between two different conductive materials. This heat transfer is called the Peltier Effect.
Both water cooling and Peltier cooling are a lot more effective than a simple heat sink and fan, but they do have their own drawbacks. Water-cooled systems are essentially small plumbing systems that add a whole new set of complications to your computer. Peltier devices are very effective at pulling heat away from a CPU, but they need their own heat sinks and fans to dissipate that heat and move it out of the case; and they can consume as much power as the CPU itself. If your computer's power supply isn't adequate to support a Peltier element, you may have to replace it with a more powerful unit.
Another potential problem with a Peltier system is condensation. The cooling element can become cold enough to pull moisture out of the surrounding air and form water droplets on the CPU and other nearby surfaces. This is not something you want inside your computer, so you probably need a gasket or other insulation around the Peltier cooling surface.
By the time you install a water cooling system or a Peltier element, you've probably spent almost as much on cooling as you would have paid for a faster CPU that didn't require all this tweaking. At this point, we're rapidly moving into the world of the obsessive hobbyist, where economy is no longer relevant. Like most hobbies, it's entirely possible to carry supercooling to extremes. It's not uncommon for the truly dedicated overclocker to try things like immersion in liquid nitrogen and external refrigeration systems to cool down their processors. Whatever it takes to drop the temperature a few more degrees or boost the speed a few more percent is fair game. For links to descriptions of many cutting-edge overclocking and supercooling projects, run a Web search on CPU overclocking, CPU supercooling, and extreme overclocking.