My core 2 duo needed more and more voltage over the months, It used to be 1.47V for 3.2GHz with 400MHz FSB, now it would need 1.53V.
And I've fried a Northwood P4, which suffered the SNDS (Sudden Northwood Death Syndrome)by being stupid and fed 1.8V to it, died in less than a week.
However, other system's that I have overclocked didn't go bad so far. So I'd say, if you overclock too aggressively, it will damage the components, but if you overclock mildly, it shouldn't make much difference in the life of the CPU.