If I buy a cheap chip, chances are I'm going to get the most I can out of it.
Heat is always a concern, but with the way processors undervolt in windows these days they hardly see peak voltage. I don't even hit peak voltage while I'm gaming with an x3 720 at 3.73ghz. I max out at 34 to 36c, while prime 95 and the like put my CPU closer to 50c.
Video encoding puts me around the 40c mark at full load which is entirely tollerable. The one thing I noticed myself doing this time while overclocking, was making sure that I didn't switch the multiplyer high enough to disable downclocking features.
I have a 3.7ghz+ cpu that idles at less than 20c, that's impressive.