I'm in the process of the 'reading, -re-reading and reading some more' before I over-clock my rig. I don't really need the extra speed boost from an i7 965, but look at Intel's own website-the chip has been MADE TO BE OVER-CLOCKED.
I'm using an Asus P6T Deluxe V2. Asus themselves claim that the board is 'one of the easiest OC boards on the market today.' This board comes with utilities to over-clock!
My RAM? Corsair Dominator 1600 (OC) Oh yeah... the OC is for 'over-clock'
As for heat issues, there are fan and air systems that are as good as water-cooled systems. The Cooler Master Hyper N520 isn't top of the line, but it cools almost as good as a water cooler, which is dangerous to motherboards, RAM and CPU's! Get a vibration caused leak in your system, or just forget to leak test before firing it up-you'll kick your own butt for not going with a air-cooler solution.
Oh yeah, my GPU is an eVGA GTX 285 SSC @ 702mHz. This card CAME over-clocked.
Over-clock if it's something you want to do to get the most for your money. I paid a K for a CPU that's expected to OC'ed. If I can end up with even 3.5 gHz per core, I've got a system that's not going to be obsolete for at least a couple of years.
Just my thoughts on the subject...