I notice there is a good CPU overclock guide here, but no concrete GPU one, so here goes.
If you've got a GPU that's newer than say a Radeon 4000 series or a GT200 series, you can overclock it. More performance, and thus more fun!
It's really easy to do these days,and it's pretty difficult to damage anything. Your GPU has built-in failsafes in it's vendor BIOS, which will prevent you from doing any damage to it by overclocking, unless you are a proper nutter and you go down the BIOS-hack route (which I really don't recommend unless you've got a custom water loop and no regard whatsoever for warranty cover)
Step 1: Get MSI Afterburner.
Afterburner | MSI Gaming Series
There are other tools that work just as well, but Afterburner is my favorite and is generally the most well regarded. another popular choice is ASUS GPU Tweak (which you may need if you have an Asus card since some of them don't get on with Afterburner).
Step 2: Increase Power% and Core Voltage as high as it will go
Like I said, your GPU won't let you damage it, move both sliders completely to the right, the BIOS on your card will determine how high these actually go. In my example here, the BIOS on my R9 maxes out at +100mv on the core and +20% power limit.
Step 3: Pick a number.
Best to google around and find out what kind of numbers other owners of your card have achieved, this will give you an idea of a starting point. If you can't find any info on the net, set the core clock up by 100MHz. Leave the memory clock where it is for now.
Step 4: Stability test
My preferred stability test is Valley. Get it here
Load it up, set it all to ultra for maximum stress, hit F9 once it's running to set the benchmark going. It will run 18 scenes of continuous rendering. If the test completes, your overclock is validated and therefore (assumably) stable.
Step 5: Test until you get a failure
Keep increasing that core clock by 30-40MHz (or more! if you're brave) each time and running valley. eventually you'll get to the point where either Valley will crash, or your video driver will crash and reload (could also bluescreen, don't freak out!). You should also look out for image ghosting, artifacting or just general weirdless in the image quality, which could also indicate a bad overclock.
When this happens, return the core clock to the last setting at which you got a validated benchmark and save it, and tick the box at the bottom to apply overclocking at system startup.
Step 6: Your choice!
you can either choose to start easing up the memory clock a little, in the same "adjust then stress test" method we just used for the core clock, or you can leave it. Depending on the card you're using, you may or may not see much difference. It's very unlikely you'll notice much different in FPS if your card is using GDDR5 (unless it's an older model, then you might see a bigger difference).
Make sure you keep an eye on your GPU's temps and turn down your overclock if it gets too hairy. Anything up to 80C under valley (99%) load is perfectly fine. Even NVIDIA cards can touch 90 without doing damage but I prefer them to be closer to 80 as a maximum where possible for longevity. The temps you see in Valley are worst case scenario
temps, you won't see these kind of temps in the majority of games, since valley is continuous rendering of a large area.
Now you've got your overclock set up, ask yourself if you need it running that crazy fast ALL the time. Save your overclock to one of the 5 available save slots, and then turn all the settings back to default and save that as well. go into Settings -> Profiles and set the 2D profile at the lower end of the page to use the stock settings profile you just created, and set the 3D profile to your overclocked profile.
Now, your card will only overclock when you start a game or something using 3D hardware acceleration. I actually DOWNCLOCKED my GPU and saved a profile like that to use when it's idling, keeps it way cooler and quieter when I'm just checking email
Consider, now you have it, exploring the other features of MSI afterburner, such as an on-screen display you can use to monitor temps and usage over the top of your games, the ability to create a custom fan curve for the ultimate quite yet effective cooling, and the ability to monitor just about everything about your PC using MSI Afterburner hardware monitor.