I'm studying for my CEH exam, and when I came across a segment on buffer overflows I had more questions than my book had answers.  I have taught myself quite a bit on the topic, but still have one question that I cannot locate the answer to.

How exactly do you attach a PAYLOAD to the buffer overflow?

For example in this "lesson" video:
http://www.youtube.com/watch?v=NZMJA9S8EiQ

the author is causing AOL instant messenger to crash because it was not expecting such an abnormally long screen name.  Great- but how does that benefit an attacker?  What else would they need to do to say... execute a file, or otherwise deliver the payload?

If you are seriously interested in this, I would second the recommendations given by Ketchup. Smashing The Stack For Fun And Profit is a classic and worth to read, as well as the book Hacking: The Art of Exploitation.

Another book I can recommend is The Shellcoder's Handbook: Discovering and Exploiting Security Holes .