Depends on your CPU's FSB/hyperlink speed.
There is no need to have RAM that is faster than your CPU can handle.
But I do beleive the CPU you picked can handle DDR2-800 speeds.
But even if it doesn't you might want to upgrade to a faster CPU in the future.
Depending on the price premium for 800 vs 533 it might pay off to prepare for the future now, rather than binning your old RAM in two years time.
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edit: I recommend Core 2 Duo too.
You should at least consider it.
Core 2 Duo E6400 beats AMD Athlon 64 X2 4600+ in almost every benchmark.
AND IT'S CHEAPER!
Not to mention it's a great overclocker: Toms got it to perform like an E6700!!
http://www.tomshardware.com/2006/10/10/cheap_thrills/
If you have the money you should also consider the E6600.