Abit's uGuru and MSI's CoreCell stuff seem to be a big step in the right direction for Windows-based overclocking, but I think most people are still going to go with the more traditional means of doing so.
I use the Easy Tune utility (since I own a Gigabyte motherboard) to find a nice stable overclock and then I reboot and change it in the Bios. I like it because if I get carried away on an overclock and crash Windows it defaults back to the original setting of the Bios and I can try again without having to reset the Bios. Other motherboard manufacturers have there own version of the Easy Tune utility.