I recently upgraded my GPU from an Nvidia Geforce 8800 GTS to a Gainward ATi Radeon 4870 1GB. Since the upgrading I can no longer overclock my CPU with the new card, overclocking by 1Mhz will result in a reboot to stock settings.
However I can get it working by installing my old card overclocking, saving the settings, turning off, installing the new card and it is perfectly stable. When I reboot/turn the PC off it then loses the settings and refuses to overclock.
I would suspect my PSU, but I've 'stress' tested my system with Crysis/Bad Company 2 and despite running fairly hot it's stable with the Radeon 4870 and CPU Overclocked.
Intel Core 2 CPU 4300 OC @ 2789.9 MHz (9.0 x 310.0 MHz)
Gigabyte 965P-DS3 (F13X bios)
Gainward ATi Radeon 4870 1GB
5GB Geil DDR2 PC2-6400