The Celeron D 356 will be out around june, so if you need the upgrade right now, then Celeron D 356 is not a good choice to wait.
1. Already answer that AMD perform best at gaming, no doubt about it... A P4 506 o/c 4Ghz is still not as fast as Athlon FX53 at gaming... If FX53 run at 2.4Ghz and opteron o/c to 3Ghz while FX53 perform faster than P4 506 at gaming, then opteron 3.0Ghz will destroy Celly 5Ghz at gaming...
http://cpu.zol.com.cn/2005/0706/183291.shtml
2. Good overclocking motherboard for intel series
a. AGP motherboard - Asus P5P800-SE
b. PCI-E motherboard - Asus P5WD2-E
(You can get cheaper PCI-E motherboard w/o SLI setup, but I highly recommand Asus)
Good overclocking motherboard for AMD
DFI Lanparty S939 series..
3. If stock cooling is enough for Celeron D, why bother for water? If you want a good overclocking CPU for lowest price and highest performance, getting a $200 water cooling contradicts the budget. For example, if you spent $150 on a CPU run at 2Ghz and overclock to 3Ghz by using water cooling $200, why not just buy a 3Ghz CPU for $350??? Also, water cooling for Celly D isn't that good, most people will recommand vaporchill($850)...
http://www.xtremesystems.org/forums/showthread.php?t=88570
IMO, Celly D 356 with P5WD2-E is not a very good overclocking setup.. First, that Asus mobo cost $200+ and the Celly D will cost at least $100+ paired up with DDR2-800 will be expensive... This guy's celly d 5Ghz PI 1MB @ 28 sec and my P4 506 4Ghz PI 1MB @ 35 sec. But the thing is if my P4 506 can do 5Ghz using 250x20 = 5Ghz, why go for celly d? At 5Ghz, I will be needing vaporchill($650+) and need at least 1.6v vcore to achieve that speed. Notice that intel has Vcc max of 1.55v for all 90nm Prescott CPU, and going over the limit is asking for symtoms similar to sudden northwood death syndrome...
TMP-ManAsus P5P800-SE
Pentium 4 506 2.66Ghz @ 4000Mhz @ 1.5125v
1024MB Dual Channel DDR400
40GB 5400RPM + 120GB 7200RPM HD
128MB Radoen 9500 mod 9700 @ 360/585