All celeron CPU since the 300A has an on-chip thermal diode for CPU core temperature measurements. This is the most accurate temperature measurement and is a "must have" for any serious overclocker. To use the on-chip thermal diode, you must have a motherboard which supports this feature. Unfortunately, only Asus and Intel motherboard do that in the current product lines.
Abit motherboard stopped the thermal diode support two years ago. If you have an Abit BX6 Rev.2 motherboard, it can be
fixed. Any Abit board newer than BX6 Rev.2 has no such function and can use only external thermister. The Socket 370 Abit board has a thermister built-in under the CPU socket. Make sure that the thermister is bent-up before installing the CPU so that it will touch the bottom of the CPU.
The AMD Duron and Thunderbird do not have on-die thermal diode.
p.s. Mike is right that you also need a slotket that supports the thermal diode. Almost all current name brand coppermine slotket do, Abit, Asus, MSI, etc. If you have a slotket two years old, it may not support thermal diode. These include the original Abit and Asus celeron slotkets.