Basically you only have to ensure that all components work properly at the higher clock speed. Chipset north bridge including memory controller, the main memory, PCI and AGP and the CPU Front Side Bus. Even if only one component fails you will have to spend some time to find out which one.
Good memory Keep some reserves.
With 66 MHz systems it's best to use PC100 memory or at least brand 10ns types. They should usually bear 75 MHz without any complaint. The best is of course to use PC133 memory, but I don't think that many of you will buy new memory only for overclocking. I wouldn't do it either. Each component you want to overclock has to work reliably at the higher clock speed.