The more overclocking you want to do, the more fans and cooling devices you'll need. I'd suggest at least a front intake fan and a rear exhaust fan.
The CPU may come with it's own heatsink and fan, depending on whether it is retail or OEM.
In regards to the power source, you'll probably want at least a 350watt supply, and you'll also want to check out the rails it provides and if they meet what you require. You'll also probably want a 2 fan PSU, as well as making sure it has all the necessary connections you require.
And yes, the socket on the motherboard must match that of the proccesor. The reason I suggested 939 as opposed to 754 is because that's the solution that AMD has come up with which will eventually replace all of their 754 and 940 proccesors, which means if you buy a 754 board, it probably won't support future proccesors if you ever wish to upgrade.