The chipset registers are pretty simple, they are memory locations in the northbridge that control the way it behaves. They control every aspect of the northbridge. Now as the northbridge is responsible for controlling the CPU, the memory bus, the AGP bus and the PCI bus, then its a pretty important part of your computer. The chipset registers are usually set by the BIOS at the time of boot-up, but by using some very useful pieces of software we can override these settings from Windows. This will help you find the maximum settings for your hardware without having to continually reboot. Of course when you set something too high your system will crash! Also some of the cheaper motherboards out there don't have all of the tweaks that are supported by the chipset. If that is the case this is the only way that you'll be able to make your system perform like you want.

What sort of things can be changed?

You can change pretty much every setting available in the BIOS plus some more that aren't. You can change all the memory settings, RAS, CAS and so on. You can change your AGP aperture size, change AGP modes from 4x to 2x or 1x...and more.