I don't know much about overclocking, but I know for sure that Pentium based machines are much easier to overclock that AMD based machines, but people tend to overclock as a sort of fun thing to do (experiment) and so AMD's give most people the thrill they want as its not as easy as 1,2,3.
I think that Pentiums can be overclocked by going into the bios and upping the Front Side Bus (FSB), which would in turn move everything else automatically to make it easier for you to get a stable processor.
You have to be very careful with this though, and going to high could damage your CPU completly, so make sure you know what you are doing before you try
Duzz, you might find it harder than Marshillboy, but research helps a mile in this sort of thing. Just scan for overclocking an AMD Athlon (AMD 64's are already unlocked so you can up it) and Pentium 4 based computer to build up research
I will try overclocking my 3500+ when I get more effective cooling, since the stock fan just doesn't cut it. So be careful about temperatures too. I also don't know much about overclocking so will need to do some researching myself
I hope this helps