The required changes depend on your chip, your motherboard, maybe your ram and how far you want to go with the overclock.
Some motherboards will automatically adjust voltages to help with the overclock, and if you aren't going for the maximum possible overclock then this might be OK. Also depending on the speed of your ram you might or might not need to make any changes there. If you are going for a maximum overclock then there are numerous settings that you can fine tune to help make it work, and to help reduce the heat output.
There are several different chip types out there right not- the Intel "core" series of dual core and quad core, the new Intel "i" series, and one or more different models of AMD. Each one requires a different approach to overclocking and each one has different settings to worry about. There are numerous general guides on the internet, both on this site and others. There are also plenty of personal stories posted from people that have overclocked their own chips. You can search for "overclocking" and find lots of guides, you can also search for things like "i5-750 overclock" and find articles more specific to that Intel chip.