When and how you should overclock are all a matter of opinion. Though properly overclocked parts (that is, not causing instability by being overclocked) generally offer better performance. Overclocking gives that better performance by forcing the part to work harder, meaning it will run hotter and faster, and depending on the overclock, use more power. If you plan to overclock you need better cooling. Stock (what it came with) is okay for a small overclock, though pushing it too hard will wear it out faster than if it had better cooling.
If you plan to overclock you'll want a very good air cooler or a low end water cooler. Most coolers will have brackets for many motherboard sockets, AMD and Intel. Some companies will offer brackets so that you can buy to use older coolers with newer sockets too. Some research into it can help you get a good overclock and a cooler that you could use for years after you replace your current system.