Most memory can be overclocked to some extent, but this really depends on several factors, including the quality of the chips, circuit board design and module assembly. Memory overclocking has become so popular that most "performance RAM" manufacturers have rated the fastest products at overclocked settings.
The advantages of memory overclocking go beyond basic memory performance to encompass details of CPU overclocking, mainly the ability to keep memory frequency at least as fast as the CPU interface. Using past "simpler" bus speeds as an example, a Pentium III overclocked to a 150 MHz front side bus would operate best with memory that could also tolerate 150 MHz operation. Some chipsets even required it.
Inexperienced CPU overclockers often unknowingly push RAM beyond its stability limit, blaming the wrong component when they can't reach seemingly reasonable goals. This misunderstanding is usually caused by BIOS menus that show memory "speed" as a data rate relative to a non-overclocked CPU. Because memory controllers operate RAM at a ratio of the CPU interface speed, any change in CPU speed has a proportional affect on memory speed.
An easy way to envision this is with an FSB1066 Core 2 Duo paired with DDR2-533 (aka PC2-4300), both operating at 266 MHz clock speed. Choosing the "533 MHz" memory setting and overclocking the CPU to 333 MHz bus clock (FSB1333) will cause the memory to run at DDR2-667, even though BIOS usually still says "533 MHz". A few manufacturers have added a second reading to show both the original and actual data rates, but anyone without that luxury will need to do some math to determine real memory speed when overclocking.
The same risks apply to memory overclocking as with other components, including possible data loss when a program crashes, and possible memory damage caused by overheating. The most likely cause of module overheating is the use of excessively high voltage levels; fortunately, performance RAM is blessed with a warranty that covers overclocking up to a manufacturer-designated voltage level.