it mostly just gets rid of unnecessary junk, therefore cleaning up your HD. If you have barely any HD space left, cleaning up the unussed registry info might actually help with more HD space, but not make the computer "faster"
Registry tweeking however, can make massive improvments on the computer. Often people with large amounts of RAM, good CPU cache's, high speed internet (I have 10mb (www.blueyonder.co.uk) at home so I did some internet tweeking) can benifit from tweeking the registry. There are programs that help you do this, but there are alot of guides around to help you tweek things, this is if course, FREE
A warning though, while registry tweeking is not difficult as its more jsut copying from a guide, it can mess your system up so be advised only for pro's, and back-up ur registry befor hand