You should only overclock if you have a firm grasp on what you are doing and have strong hardware to support such overclocking. The difference can make a big difference as you can increase speeds to basically the "next" processor on the chain.
CPU speed is calculated in Athlon 64s by multiplying the multiplier by the HTT (basically the FSB). For example, a 3200+ at stock speeds:
200MHz x 10 = 2000MHz or 2GHz
Raising the HTT by 10MHz will do the following:
210MHz x 10 = 2100MHz or 2.1GHz
The HTT speed will either be 2000MHz (socket 939) or 1600MHz (socket 754). As a general rule you do not want the HTT speed to increase past these speeds, so as raising the HTT speed, lower the HTT multiplier.
Basically, if looking back at the 3200+ example:
400MHz x 5 = 2000MHz or 2GHz
420MHz x 5 = 2100MHz or 2.1GHz
If it exceeds 2000MHz as it is above you want to lower the HTT multiplier to keep it below 2000MHz.
Also, when overclocking, your CPU run on 1:1 ratio with your RAM, PCI and AGP. Since PCI and AGP like to stay where they are (33MHz and 66MHz), and increasing these speeds may fry your parts, you want to lock your PCI/AGP slots. Also, since your RAM runs on a 1:1 you'll need to loosen timings and up DIMM voltage as you continue increasing speeds.
As far as CPU overclocking goes, raise by small increments, boot Windows and test in Prime95 for a few minutes. If it crashes or becomes unstable you need to raise your vcore. Once you start upping the core voltage, your temperatures will start rising fairly quickly so you may want to keep an eye on that. Once the ideal overclock is obtained test in Prime95 for 24 hours.
So to recap:
Keep HTT speed below its stock setting
Lock AGP/PCI slot
Loosen RAM timings and increase DIMM voltage
Increase CPU speed by small increments, increase vcore if unstable
btw. You don't void your warranty on things like mobo, cpu, as they were designed to be able to overclock, otherwise, why would they let you changed the fsb/htt - just don't tell them you overclocked it, if you do end up frying something.
Overclocking a CPU does void the warranty and I am almost positive they have some crazy way of telling what speed the CPU was last running at, however if you play dumb chances are you'll get away with. CPUs are built pretty foolproof anyway so there's little chance of anything serious happening.