Actually you can. I have an i5 2400 in my second PC. Not only is it a really fast chip to start with, but you can get a worthwhile speed bump by overclocking. "Locked" chips aren't really locked. They are just a bit more locked than unlocked chips.
The way to do it is via the turbo ratios - in the BIOS. You can't do it via the multiplier unfortunately but this is no practical disadvantage - turbo is activated whenever your chip is stressed, and that's when you need the speed that overclocking will give you. Intel allows you to add 4 extra ticks to each turbo multiplier on unlocked chips. So, in the BIOS you will see something like
1 core: 34x
2 cores: 33x
3 cores: 33x
4 cores: 32x
This refers to the max turbo frequency when the stated number of cores is in use. So if you are using just one core, your i5 2400 will turbo up to 3.4 GHz, and so on. To overclock it, you just add 4 to each number you see above. I just set mine to do this about 2 years ago and I've never changed it since. My 2400 regularly turbos up to 3.8 or 3.7 so I know it's working. Seriously, this is such an efficient and cool running chip that you will hardly notice any difference in temperature from doing this. I use the intel stock cooler and after extensive monitoring of temps and voltages, I see no reason not to.
Note that you must have a P or a Z motherboard to do this. An H motherboard does not allow overclocking.