Overclocking

Overclocking is the process of making a computer or component operate faster than the clock frequency specified by the manufacturer by modifying system parameters. One of the most important techniques is running at a higher clock rate (more clock cycles per second; hence the name "overclocking"), but other parameters, such as CPU multiplier and memory timings, can also be changed and would be considered to be overclocking. Operating voltages may also be changed (increased), which can increase the speed at which operation remains stable. Most overclocking techniques increase power consumption, generating more heat, which must be dispersed if the chip is to remain operational. (definition taken directly from Wikipedia)

I've started overclocking my hardware and it is a lot of fun, and a bit of a challenge to do it without damaging the components. That is the reasoning behind the several hundred dollars going towards system cooling in my next build.

There are a few ways to cool computer components. Here I am going to talk about cooling the CPU, but these methods could be applied to GPUs, chipsets, RAM modules, and hard drives, or anything else that you might need to cool.

Passive Cooling
The cheapest, easiest, and least effective way to cool a CPU is by Passive Cooling. Passive cooling is just putting a big heatsink on the CPU and letting the heat dissipate over the larger surface area of the heatsink.
Air Cooling
The next step towards achieving ultimate thermal efficiency is air cooling. This works by putting fans that blow air over a heatsink. This is the most common way of cooling computer components.
Liquid Cooling
The next level, which is starting to get expensive, is by liquid cooling. Usually water or a water based additive is used and run through tubing and through a radiator, which has fans attached to it, after the water passes the hot CPU. This works almost exactly the same as the cooling system in a car engine. It is also much safer than one would think (in regards to the water/electricity issue). Water is much better at dissipating heat than air is.
Phase Change Cooling
I don't know very much about phase change cooling.From what I understand it is the same concept as an air conditioning unit or a refrigerator.
Liquid Nitrogen
Most people don't go this extreme, but I would really like to try someday. Pardon my continued lack of knowledge, but all I know is that liquid nitrogen is freakin cold and it works really well to cool a hot CPU if you can get your hands on some and know how to properly handle it.
Liquid Helium
I've only ever heard reference to using liquid helium to cool a computer once, so I know absolutely nothing about it, except it works really well.

Here are some pictures of extreme cooling methods to achieve extreme overclocks, and a video of the world record overclock run.

Liquid Cooling
Liquid Cooling
Liquid Cooling 1
Liquid Cooling
Liquid Cooling 2
Liquid Cooling
Phase Change Cooling
Phase Change Cooling
Liquid Nitrogen 1
Liquid Nitrogen Cooling
Liquid Nitrogen 2
Liquid Nitrogen Cooling