Most hardware are backwards compatable, like the above posters said. But it is ideal to get them with the same speed. Do this for two reasons. First is you wouldn't want to spend lot on a MB w/ a FSB of 1066 only to purchase RAM running at 800. Your system will only run as fast as your slowest component, so essentially you would be paying more money for a nicer MB, when you could be running the same speed for something cheaper at 800. Make sense?
And from what i've read, you really should try and get components of the same speed to increase the lifespan of your hardware. When a component continually has to 'slow down' to run at the slower speed, the lifespan of that hardware component will be cut short. Doesn't mean it won't work, just not suggested.