Yes, I saw a huge performance increase when I went from 133 to 166 and then 166 to 200. Essentially, you're increasing the amount of data that can be sent by the CPU to memory and vice versa. My framerates in games went up as did my benchmark scores.
If you have four sticks of RAM, it will be difficult to OC them far as the slowest one will limit your overclock. If you've got two sticks of 512, you're better off but still, the slower stick will limit you.
~THT