I'll tell ya, if your just doing it for fun and a little challange, look into the socket 478 mobile P4/Celerons (Northwoods) and the socket 370 Tualatin Celerons.
In the end the mobile P4/Celerons be no giant killer, but there is satisfaction in taking extremely cheap dog-a$$ stuff and get it on board to within 20% of the high end. Search this forum for Karaktu's thread on this. The Tualerons are just amazing performing low cost, low wattage parts that can take throw away parts (old psus, sdram, cheapo hsf, old 370 boards,etc) and get them to perform on par in the P4 2.0 range.
If your not old enough to be of the jumper era and have win98 around, I'd grab a super socket 7 board like a VA-503+ and a mix of K2, KIII, and Pentium cpus. Fooling with them will give you great appreciation for the current easy-overclock BIOS smacked into current board technology.
Edit: hello Zeeb