As has been said it will shorten the life of a CPU but probably not enough for you to ever notice (as long as you keep heat and voltage at moderate levels).
I have been doing this for about a dozen years and have not lost 1 CPU, but have lost many motherboards (but all have lasted years before they died). The only thing I have lost to OC'n (at least that I attribute to OC'n) are HD's back on the BX chipset and earlier when there weren't any dividers or bus locks (lost 5 which died before they were 6 months old)but from the 850i on I have only lost 2 IBM Deathstars and 1 WD all which lasted 2 years or more.
There are two CPUs I ran OCed for 5 years plus (probably closer to 8 for the 600e since I just recently retired it from folding and file server duty when the PS died), my p3 600e @ 900~930 and my 2.4c @ 3.5~3.6 both of which ran 24/7 folding or in the case of the 600e seti for a couple of years first but always 24/7 @ 100% load.
Here is a shot of my mbm5 log of the 2.4 in action.
And a few CPUs that ran 3+ years folding (I don't remember for sure how long just know was more than 3) 24/7 (lost due to no decent MB replacements)
1.6 Northwood p4 @ 2.6
1.8 Northwood p4 @ 2.4
2.26 Northwood p4 @ 2.7
Another 2.4c @ 3.2~3.4 (still going in my daughters puter @ 3.2 but no longer folds and only used a few hours a week)
2x Barton 2500+ @ 2.5
And I would guess another dozen earlier ones that ran a couple years starting with a Pentium 200 (My p90 wouldn't even do 100 and a k6 233 that wouldn't go any higher either are the only two that I ever had that wouldn't OC at least 15%, most much more)
I have always had decent heat control with good airflow and good heatsinks(early on Alpha's and later Thermalright's). When I started my 1st case was a SuperMicro 750 AT (I still use the 350 watt PS to test and and bleed my WC system so if any leaks nothing else is powered up) which had 5 80mm and 2 92mm fans and a filter screen on the intake 3 80mm to help with dust control. And my 2nd was a 750a ATX which I setup with the same fans (I just thew that case out today)
Here is a link to an old review of that case (which was probably the best cases I ever had, and most expensive also at $400 each back in 95 (AT) and 96 (ATX)when I bought them.
http://arstechnica.com/reviews/1298/sc750a.html
That is what has been my experience in the hobby of overclocking and like Sailor said if and how far you go depends a lot on your wallet.