It just means telling your components to go faster than they normally would.
It comes with a direct performance increase.
It rewards patience, and shouldn't be attempted if you don't understand what you are doing.
Overclocking will make components produce more heat, and they require more voltage to stay stable, so that's where the risk lies. Incorrect overclocking can cook something or fry something.
If you follow safe overclocking instructions and are patient enough to do it the right way, then there isn't very much risk.