Overclocking CAN in some cases be quite dangerous, you could blow up the processor! And at least you can cause errors and crashes.
Its not advisory unless you have excellent cooling and OVERCLOCKABLE hardware.
MSI Video Cards tend to be overclockable,
Corsair memory is good for Overclocking too.
But... I heard of something where they had overclocked a 3.06GHz to 7GHz, but it needed liquid nitrogen to cool it.
Anyway, good and bad sides too it. Your system, do what you feel is best.