Overclocking is dangerous to a certain point, what I mean is - if you are overclocking a peice of hardware too high it could cause serious/permanent damage to that peice of hardware which can termanate the warranty on that peice of hardware you have/if you have any.
Cost? No. There isn't any cost in overclocking but, there will be cost if you overclock too high and damage that peice of hardware though
Well it all depends what you are overclocking wether it is hard or not. I mean - overclocking your Graphic's card can be done in a-few simple steps in windows thats how simple it is to overclock your GPU. Say If you wanted to overclock your CPU it is a more difficult process, by that I mean - You have to go into your BIOS Settings and change afew things around, if you don't know what is what, it can be very hard. On the other hand - there is software out now which you can overclock your CPU in windows?.