Chance of overclocking burning out parts?

Depends on what you are trying to OC. Computers now days are designed to shut down when they get "too hot" to prevent damage. So if you overclock something and bsod, its just your computer saying "your OC is to high idiot, turn it down." There are plenty of guides out there that will provide you with "Safe Clocks" which will allow you to overclock your components to a level where it has little to no chance of harming your computer. The processors comming out now, can take alot more than the processors of 10 years ago. I have a 2.6ghz processor running @ 4.0ghz on a air cooled heatsink, and never go higher than 50 degree C. Just gotta experiment.

If you could provide what components you are thinking about overclocking, I may be able to point you into the right direction.

Stay inside the manufacturer's voltage and thermal limits and, short of a random failure, you will not have anything to worry about.

As for learning more, there are guides here on Toms, as well as all over the intermanetz, for your set up try googling 'overclock xxxyourchip'
it would also help us to know what gear you have, and what use you have for the system, just gaming?
Moto

Regarding #1 Then if you decide to overclock you need to study how to overclock your particular setup first, experimental overclocking without full knowledge usually always leads to disaster.

Regarding #2 You can get a lot further today than overclocking back in 2001.

Regarding #3 Heat is the slow killer, voltage can be an instant killer.

Regarding #4 CPU wise may be no gain at all or very little, GPU wise can yield more frames per second however from my own experience GPUs are more apt to fail overclocking them, as they're already on the cutting edge in most cases.

Regarding #5 It depends on what we're talking overclocking in the first place, most overclockers are prepared for what they're going to do, you have to have better than stock cooling, you have to have the knowledge to know how, and the knowledge of the limitations of the hardware you're overclocking.

Regarding #6 Depends on the mystery missing information, what are you considering overclocking?

Regarding #7 You're beginning right now!

You should list down the spec's of your PC before we can recommend any steps on how to do the overclocking.

well I am buying a new computer when the Ivybridge come out.

But for example something like an Intel Core i5 2005k. People overclock those all the time?

random high rated video card I found on ncix for example.

Gigabyte Radeon HD 6850 Windforce 820MHZ 1GB 4.2GHZ GDDR5 2xDVI HDMI Display Port PCI-E Video Card

How about the motherboard do you have any idea what chipset are you gonna use. The only MB that supports overclocking are P67, Z68 and the coming Z77 chipset boards.

I think I was told in my other topic that I should get Z77. A guy said it will be in my price range.