It's the internal architecture that determines the "speed" of a processor. The faster the CPU core can encode and decode information and pass this information to the peripherals of a PC, the "faster" it is. For example, the latest Core 2 Duos can encode a 700MB video much faster than your Pentium 4 or any AMD for that matter. So they are the best processors out there as of now.
For ur other query, OCing (OverClocking) is usually done in order to squeeze more power out of a particular processor by manually changing settings in the motherboard's BIOS to either up the bus speeds or the CPU's frequency. However, common side-effects of this include increased heat output due to the extra pressure on the CPU core and increased power consumption. Most OCers use third-party coolers on their CPU/GPU (yes video cards can be overclocked too, although to a lesser extent than processors) to remedy the heat output and an extra/new PSU (Power Supply Unit) may or may not be needed depending on the quality and wattage of ur current one. Depending on the type of processor and the extent of the OC, you may or may not need a third-party cooler. A Core 2 Duo E6300 can be easily overclocked by an extra 800MHz without needing extra cooling of any kind and also increasing performance by quite a large margin. Keep in mind though that OCing potentially lowers the life of a component if not done properly and this is especially true of video cards. So only overclock when u r sure u have all the bases covered i.e. u have sufficient cooling installed, have a PSU adequate enough for the OCing and know the extent to which the component in question can be OCed.