I'm using gcc/WinAVR to program my AVRs and have just been discovering how to program the clock speed. I'm playing with an ATtiny13 and an ATmega8. Both of these ship with their clocks set to 1MHz by default but both can be clocked to a higher speed.
There are a few things to note:
1. F_CPU is used by the compiler for calculating timings (most obvious example is in the delay.h routines). Setting it has no effect on the
actual clock speed. This needs to be set to the correct value.
2. Easiest way (for me) to set the clock speed is to program the relevant fuse bits. This was different for the two chips I've been using - ATtiny13 and ATmega8).
Note: for fuse bits 1 = unprogrammed and 0 = programmed (this is due to the nature of EEPROM).
This step is made easy when using the Eclipse avr plugin. There's a GUI/wizard for setting them in Project->Properties->AVR->AVRDude->Fuses. Accessible by selecting the "direct hex values" radio option and then clicking the "start editor" button.
3. For some MCUs you can dynamically adjust the clock speed in software (I know this is true for the ATtiny13 at least). However, this has to be done within 4 clock cycles of setting the CLKPCE bit (again, this is for the Atiny13). See
this forum post on avrfreaks.net and pg.28 of the datasheet.
Here's a good overview of setting the clock for the ATmega8:
Electrons - AVR Fuses HOWTO Guide.