Well there are two enemies to OC'ing, high temps, and high voltages. Also, the CPU isn't the only thing prone to fail, its also the RAM and the MB. Some newer MB's come with ALL solid capacitors that are rated to sustain higher temperatures, so they are more stable and less susceptable to fail.
If planning on overclocking heavily, one has to plan on a suitable cooling solution for the cpu/NB/SB/RAM. What comes with the MB and CPU are for general use and light OC'ing.
Since the conroe chips are new, I don't think people can put a real time on their lifespan. In the past heavily OC'ed systems would last from 6mo to 2yr, depending on the equipment and experience of the user.
RAM nowadays can handle very high voltages, and the MB's are able to pump them up, but then they will become unstable and eventually overheat/fail, so again keeping the voltage minimized and using a fan (bigger is better) to blow directly on them helps a lot.
With CPU's you can upgrade to a big heatpipe setup (like the big typhoon, tuniq tower 120, and thermaltake makes a good one) which uses a 120mm fan, or use water cooling setup, and in extreme setups they use phase change cooling (basically an airconditioner).
Also the case needs to be capable of getting the hot air out, so one with multiple 120mm fans is best.
You can read more about OC'ing conroe chips at http://www.xtremesystems.org/forums/
People there are pushing their systems to their limits and few are reporting failures, most problems are associated with the MB, so getting the right one is key.
good luck, and welcome to CDfreaks btw