To overclock is to force some hardware mentioned above to run at faster, often non-intented speeds.
Generally this is doable, however few factors come in such as when one overclocks a piece of hardware to its max the power circuitry usually does not deliver enough voltage to the hardware, thus the voltage needs to be manually raised.
When raising the voltage, heat will be generated more substantially, which is the hardware's number one enemy.
Thus is why companies like Thermaltake and Globalwin have mustered their efforts to produce efficient and powerful cooling systems to counteract the heat.
I used RivaTuner to overclock my video card's memory's clock speed from 250mhz to 305mhz.