Here is the overclocker's point of view:
AMD Athlon XP 2500+ for $91
AMD Athlon XP 3200+ for $315
2.4GHz Intel Pentium 4 "C" $159 3.2GHz Intel Pentium 4 "C" for $394
Now, this is considering that most overclockers are enthusiasts who already have very good equipment, so cooling isn't a factor. Since they have the equipment, why spend more money?
As for the argument that it shortens the life of the CPU, these people upgrade on a regular basis, anyway. They would have bought new hardware by the time their processors die out.
This is based on what I've heard from people who OC themselves. As for me, I don't OC, so don't assume this is a biased position.
Edit: I should've mentioned that the 2500+ is the cheapest Athlon that can be OC'ed to 3200+ and the 2.4C is the cheapest Pentium 4 that can be OC'ed to 3.2C