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.
Intel C2D E6320 / AMD Athlon X2 3800+
Gigabyte 965P DS3 / DFI nF4 Ultra-D
2GB OCZ Gold PC2-6400 / 2GB OCZ Gold PC4000
eVGA 8800GTS 320MB / eVGA 6800GS 256MB
150GB Raptor / 74GB Raptor
2x500GB / 320GB
OCZ GameXStreme 850w / OCZ StealthXStream 600w