Personal reasons.
Some people really enjoy the "my PC is faster than yours, and we use the same parts" concept.
Personally, I got started about 10 years ago on a 36cap Pentium4 (amazing CPU).
It's essentially free performance that you can take advantage of. The components of our modern computers are 'rated' to run at certain speeds. However, they are capable of running at higher speeds. The way you get there is often through adding slightly more power (on the level of 0.1 V), but you end up generating more heat as a result. We all pay more money for a good cooler so that we can deal with that heat more effectively.
I have an i7-3770k. When I installed the chip, it would sit at 1.6GHz during normal activity, and it would ramp up to 3.9GHz on its own if I booted up a game or something along those lines. I added 0.2V of power, and I now run the same CPU at 4.8GHz. That's a really big gain in speed.
What is that speed used for? Maybe 5-10fps in a game. My GTX 690 is overclocked slightly, and that seems to be worth another 5fps or so. Most of the time, that gain is "bonus" fps that you don't actually need (i.e., anything over 60). However, take a newer game that makes intense demands of hardware (e.g., Crysis 3), and that bonus can allow you smooth fps with very high (i.e., pretty) settings. Normally, without the overclock, those same components might have to run at lower (i.e., less pretty) settings to achieve a stable framerate.
Say you and I have the same components (see signature)... If you don't overclock yours, and I overclock mine, when we both go to play Crysis 3, I will be able to have higher graphics settings, smoother framerates, or both. CPU speed and performance plays a large role in multiplayer games, due to the load on the CPU to handle that much data. With an overclocked CPU, you can achieve that extra performance boost so that you might have less latency (lag). Less latency gives you a distinct advantage over your competitors when it comes to trying shooting virtual bullets at each other.