Two factors stop this from being a happy generalisation. One is that some chips, like some Sam Raimi films, are essentially irredeemable. Clock speed is not everything, so no matter how fast you manage to take that budget Celeron processor, it's still not going to fare any better in Oblivion than Kieron Gillen would if you poured eight cans of Red Bull down him then told him to go hunt and kill animals for food. He/it just isn't up to the job, no matter how psyched.
If you want even vaguely worthwhile results from overclocking, really you need to be running an Athlon 64 or a Pentium 4 already. If you are fortunate enough to have a Core 2 CPU, you're doubly blessed, as it overclocks like a dream. A strange dream of BIOS screens and slightly increased heat output, but a dream nonetheless. It's also worth noting that a lot of pre-built PCs, especially the cheapies and laptops from big firms like Dell, deliberately remove overclocking options from the BIOS, as they don't want support calls from folk who've fried their chips.
So, you might be out of luck. Applications such as Systool (techpowerup.com/systool) and nTune (nvidia.com/object/sysutility.html) allow overclocking from within Windows on some motherboards, but your only recourse may still be to pick up a new mobo.
The other snag is that Intel and AMD aren't dumb. They're not going to flog you a bargain chip that you can then make perform as well as something three times the price for free. Well, not quite. Most processors are 'locked' so you can't simply raise the clock speed - instead, you have to overclock the front side bus (aka FSB, or just 'bus', or sometimes 'external clock'). In layman's terms, this is the speed at which the CPU communicates with the rest of the PC, rather than its own internal running speed. Overclocking it, however, has a fortunate side-effect of also increasing said internal speed.
There's another side-effect, which is that your RAM's speed is also raised by raising the front side bus speed. We'll deal with overclocking RAM later, but if squeezing more fastness out of your CPU is your primary goal, you may actually have to lower the speed of the RAM first so that it doesn't overheat and lock up the PC when you pump up the bus.
For instance, by dropping your 400MHz memory to 333MHz, then overclocking the bus by a few megahertz, which will raise the CPU speed accordingly, and also restore the RAM to something like its original speed. It sounds counter-intuitive, but even if your memory is still a bit slower that it used to be, it's likely that the net gain will outweigh the loss. Benchmarks such as PC Mark will reveal whether it's been worthwhile.
Multiplier-unlocked chips, specifically Intel's Extreme Editions and AMD's FX range, do exist, but frankly if you can afford one of those howlingly overpriced puppies, chances are daddy will just buy you a faster PC whenever you ask anyway.
To complicate matters further, Athlon 64s don't have an FSB as such, but a sort of equivalent called Hypertransport. Many BIOSes will simply refer to this as being the bus anyway, but it's worth knowing for those that do use its proper name. So, guide below, usual warnings apply, etc. OK, go!
Put your CPU on the Bus to Framerate city
1. First port of call - the BIOS. This is the set of scarily texty menus usually accessed by pressing Del or an F key as your PC boots. You'll see an on-screen message saying something like "press xxx to enter setup" if you're not already familiar with it.