Must intel chips running SMP be from?:
Same lot #: No. (But I usually like to see if I can pull this off, just because chips from the same lot seem to have similar overclocking characteristics. If you are running at rated, speed however, the lot # doesn't matter. In fact, also for this reason, I try to run sequential chips if possible. This is NOT necessary, but it nearly eliminates that annoying problem of having two chips in SMP, one that overclocks 30%, and another that runs hot at rated speed, and has nothing more to give).
Same stepping: I remember reading somewhere that the general rule of thumb from Intel is that it should be within 1 stepping, up or down to do SMP. My own rule for SMP is that the chips MUST be the same stepping. That way I know I am less likely to have problems. Also note that some chips, such as recent coppermine PIIIs, need to be of a certain stepping or higher to do SMP at all. On the coppermines, for example, I think that the cB0 stepping chips were the first stepping reported to work very well dual.
Nack