The dangers, of course, are fried chips. Cooling is probably the most important factor, if your case isn't properly ventilated, your system will be unstable at best. Some CPUs/MoBos are friendlier to overclockers
Accorrding to the articles Ive read they say the E6600 combined with the motherboard Im getting can be overclocked to 3.75 with no extra cooling. Thats one of the advantages they say of the Core 2 is that it runs very cool.