Comparing to the old days, overclocking is a lot "safer" now. Current thermal/vcore protections built in the hardware itself will most likely turn your machine off before any real damage.
Also, these chips can handle A LOT more than what their stock settings are, as long as you have proper cooling.
Back when the first multicore CPUs started popping up, the whole industry saw it as a solution to the frequency issue, single core CPUs were hitting the frequency ceiling and performance gains were slowing down. The solution? More cores in a single chip, and multithreaded aplications. Years passed and the number of cores grew, but aplications and games didn't follow quite as much when it came to optimization. Architectures changed, decreased in size, reduced thermal output and made it possible to push those frequencies up with little danger to your CPU even when using a relatively cheap aftermarket cooler. And why does it matter? As I said, even if you have a 6-core/12 threads CPU, if the apps aren't properly optimized, they aren't fully used.
That's why i5s and i7s are almost the same when it comes to most games, or if you compare a 2700k to a 3930k (2 extra cores), they are also pretty much the same when it comes to gaming (you can get some improvement from quad channel memory, PCI-e and all but you'd get it from a 4 core 3820 in a x79 system anyway). So the only way to increase performance in situations like this is to increase the frequency on the CPUs, increasing it's IPC (an overclocked 4 core i5 at 4.6 ghz will mop the floor with a stock 3930k in most games).
When I got my 3930k, this sexy thing, I felt that I would be wasting my money leaving it at stock, sure I understand the extra core on these babies won't matter much 90% of the times I'm using my PC but I want to push the performance as much as I could without much risk.
Sure, if you OC your computer chances are your CPU will degrade faster then it would at stock, but with a decent cooler you can keep it cooler than a stock CPU with the terrible box cooler would.
Also, it's FUN to do it