Hi there! Welcome to the Anandtech forums!
1. If you are building a new system, completely from scratch, you will need: CPU, MB, RAM, heatsink/fan for CPU, hard drive, floppy drive, all accompanying cables (some of which will come with the motherboard most likely), a Case, video card, any peripherals, etc.
You will not need to buy a shim, especially for a P4. You will want thermal paste of some kind for your heatsink/fan for your CPU. The "silver stuff" is called Arctic Silver 3 and is generally considered to be the absolute best thermal paste out there. You can find 3 gram tubes for $7.50 or so. 3 grams is more than enough for many applications.
OEM or Retail: Do a search of the forums and you will find some very recent threads on this exact topic. The bottom line is that OEMs are cheaper and do not come with a heatsink/fan and the warranty is generally extremely short (<30 days in many cases). Retail CPUs will come with a heatsink/fan approved by AMD or Intel for use with that CPU. You will also get a 3 year warranty directly from AMD/Intel. In the case of AMD Athlons I'd say buy OEM and get yourself a good 3rd party heatsink/fan. In the case of the P4, you may want to buy retail if the price difference isn't much as the retail P4s come with good heatsink/fans already. AMD puts in decent heatsink/fans but there are much better 3rd party ones out there. However, if a 3 year warranty is important to you then by all means spend $20-30 more and get a retail CPU. If you plan on overclocking an AMD chip you definitely will want to buy a 3rd party heatsink like the Alpha PAL8045 (check motherboard compatibility before buying it though

).
Overclocking can be done in 2 ways: via FSB speed manipulation or via the clock multiplier. Intel chips come clock locked which means you can only bump up the FSB to achieve higher clock rates. The 1.6 and 1.8 chips (the new ones) have a reasonable probability it seems of hitting 133Mhz FSB and thus giving you a great than 2Ghz chip for a very good price. With AMD chips you can unlock the clock multiplier via a pretty simple operation on your CPU. You can also tweak the FSB on them...So ideally you will only be able to reach the highest possible overclock by manipulating both FSB and clock multiplier. When overclocking you also need to keep in mind that running your system over 133Mhz FSB is (as of almost all present day motherboards) running "out of spec". This will cause things like your PCI cards and AGP video card to be running at a higher bus speed than they were designed for. Usually this won't cause you any problems until you get up to the 155Mhz and above FSB range but it's still something to keep in mind. The AGP and PCI busses are multiples of the main front side bus...A PCI bus usually runs at 33Mhz or 1/4 of the main FSB for Athlons, 1/3 of the main FSB for P4s. The AGP bus runs at 66Mhz or 1/2 the Athlon FSB and 2/3s the P4 FSB.
The reason those new Intel chips are so good is that P4s only run at 100Mhz FSB. If you can get the chip stable at 133Mhz FSB then your system would still be running in spec except for the CPU. Some people value the fact that their peripheral cards are running at normal speeds even though the CPU is overclocked.
2. As far as motherboards go, I don't know too much about the current crop of P4 boards. If you plan on overclocking the P4 chip, get one with DDR SDRAM. Do not get RAMBUS RAM based boards. If you're going the AMD route, you will find that you have a ton of good boards to choose from, most of which differentiate themselves by their features rather than any performance or stability differences. Some to take a look at are the Epox 8kha+, Soyo Dragon Plus, Abit KR7A-RAID, Shuttle AK31, basically anything with the Via KT266A chipset. Oh, the IWill XP333 is a sort of special exception to some of what I said above. It also is a good, cheap, overclockable board.
Hope this helps! (heh work is kinda slow today

)
Gaidin
Edit: Depending on what case you buy for your machine you will need to think about a power supply as well as additional case fans. A typical computer case will have one 80mm fan sucking air in from the lower front of the case while another 80mm fan will be exhausting air from the middle back of the case right next to where the CPU heatsink fan is blowing hot air up. As for a power supply, you will find a LOT of advice on them in the Cases and Cooling forum as well as this one. If you buy a name brand 300-400W PSU you should be fine. With P4s you need make sure you get a P4 "ready" case that has the extra 12V funky connector on it. For Athlons you will want to get an
AMD Approved power supply. Just make sure you don't buy a case that comes with a 250W or higher no-name power supply or else you may regret it.