Older motherboards are more limited than some of the newer ones in this respect- but generally speaking, when you raise the FSB speed, PCI/AGP bus speed also increases.
PCI/AGP uses "dividers" to reduce the FSB speed to what they need to run at: pci is 33 mhz and agp is 66.
If the FSB is 133, then a 4 is the divider for PCI, 2 for AGP.
If you then increase fsb to 140 mhz, AGP is at 70 mhz and PCI is 35- and both of these are above spec for their respective buses: while they usually have no trouble running at those speeds, it IS a possibility!
Motherboards with a 5 divider are now common and allow a 166 mhz FSB while running PCI and AGP at spec. They dividers switch automatically when you set the higher bus speed, btw.
Mobos with PCI/AGP locks are out now too: giving the ability to restrict those buses to spec while increasing the FSB of the cpu/ram (I have not used one yet, myself.)
Personally, I like having all my buses running as fast as they can without errors: maximum performance from the hardware, etc.