Remember that 3 years ago, the P3 just came out, and the Athlon did not come out until August. An o/c CPU should last 3~5 years, by which time it is time to upgrade anyway. (Yes, you can get away with using a CPU for longer if all you do is word processing, spreadsheets, and surfing. But then why are you o/c?)
o/c in the past was done because buying a new/faster CPU was prohibitive due to the price. Intel essentially had a monopoly in terms of pricing. If you could buy a P3 500E ($200) and o/c to a 733 ($400), then you just saved yourself a ton of money.
The "problem" with o/c today is that due to the AMD/Intel price war, chips are relatively inexpensive. A 700 MHz Duron (Celeron) goes for ~$50 (~$80 for C2) shipped to your door. That is enough power for most people. For a gamer, THG has shown that a graphics card is the bottleneck in most cases. Thus an 800 MHz CPU will suffice for gamers. From a cost/benefit point of view, o/c does not make much sense.
But on the flip side, if you do o/c and burn up a CPU, then at least it is cheap to replace it.
That being said, I do o/c my 700E to 1.08 GHz even though it does not gain me much, and not everyone does o/c from a cost/benifit point of view.