Overclocking a CPU will sure increase the heat, no matter if it’s a downclocked 2800+ or not. The downclocked CPU’s are those who are from a lower quality; those CPUs could give troubles when running at higher clockspeeds.
But don’t worry too much. AMD’s manufcaturing yields are quite good at the moment, and their cheaper CPUs are of a high quality.
Most probably, the 3000+ CPUs are from a later batch with better yields. That probably the reason why they cost more (besides the marketing part ofcourse; AMD always compares their prices with those of Intel).
About the mainboard / memory thing: mainboards with a NF2 chipset are pretty good overclockers, as they have many nice features. KT600 can do the job as well, but why would you buy a less performing chipset, when you intend to get the best bang for the buck?
Cocerning the memory: yes! PC3200 is absolutely a must (faster is better), as the Athlon CPUs perform the best, when the memory is running at the same FSB as the CPU is…