Number one reason is because we can. 'Nuff said on that.
Number two reason is performance. The performance increase is real and (if the OC is good enough) very noticeable.
Number three reason is because is enables you to have a faster processor that what is currently available for sale. For example, I have a 1.0GHz Tbird (AXIA stepping) at 1.46GHz. An Athlon at that speed was not legitimately available until about 9 months after I bought mine and OC'ed it. I suppose this falls into bragging rights, but another important thing this does is that extreme overclockers demonstrate the upper limits of how far a particular CPU brand and stepping will be able to go. For example, later stepping Athlon Tbirds never made it much past 1.5GHz. Therefore, it was known in advance that the CPU architecture would need to be revamped for AMD to get past that speed, and it was with the new AthlonXP. Now those CPUs are showing that they won't make it past 2.0GHz, and it is clear that AMD will need a die shrink to pass that milestone, which they will do with the T-bred, which will be released in late March or April, starting at 2.0GHz (PR 2500+). At that point, I would not be surprised if people started getting as much as 2.7-3.0GHz with the 0.13micron T-bred Athlons (and that will end up being the extreme limit of that model). Intel had the same problem with the P4 Willamette. Try as they might, extreme OC'ers could not get one much past 2.4GHz. In order to go faster, Intel revamped the architecture and did a die shrink to 0.13micron. Now some are getting 2.2GHz Northwoods to as much as 3.5GHz (using extreme methods right now), and I predict that speed will be the end of line for the P4 Northwood line, and Intel will have to die shrink again to get beyond that, or switch to a new architecture (so, contrary to all the hype, to me this is proof that the P4 will never scale up to 10GHz, unless Intel die-shrinks to 0.07micron).
Number four reason is that it can breathe new (or extended) life into old systems. You were gonna throw out that old Celeron 533a, but a little bump in vCore to 1.8v, and an adequate but very inexpensive HSF and you get 800 with no issues, and an extra year or more of usuable life on that machine. Not bad.