Overclocking is the act of forcing your video card to run faster than the standard. By forcing the card to run faster, it can do its work faster, which increases the card's graphical performance. Many card vendors such as eVGA, XFX, an BFG Tech sell cards that come pre-overclocked, but these are more expensive than stock cards. One advantage to having a factory overclocked card however, is that these cards tend to have higher quality components (they "cherry pick" the better parts for the better cards), and it may be possible to overclock them even more than they already are.
Overclocking does have it's downsides however. First of all, not all cards can be overclocked that far. Some will not run at speeds much higher than stock, and it's possible to damage your card if you try to push it too hard. Some card vendors don't allow overclocking on their cards; if you try to overclock cards from them, it will void your warranty. A few of the well known vendors do allow for overclocking, which is a benefit to having a card from a brand such as eVGA or XFX.