Ive overclocked my AMD. 1.83 to 2.10 but I have gotten it as high as 2.30 (running a little hot, so I backed it off).
I recommend you looking at the manual for your mobo and looking at all the settings available in the BIOS. Make sure you knwo what you are changing. Get a clear idea of what it is, what it is doing, and what it will affect. Then OC.
You will need some sort of non-stock CPU cooling. Stock cooling usually will not cut it.
Anyway, my tip is to read up before you start OC'ing
EDIT: As for AMD, the thing is you can get better performance than a P4 for cheaper. With the money you save on the CPU you can buy a better vid card, more or better memory, etc. IMO, its the better way to go simply because of the pricing. Plus, what I have seen the overclockability is quite good.