I have never heard of a chip arriving DOA, although have heard of a few Conroes that won't OC hardly at all. Very rare posts and still not convinced it's not user error.
I had a Northwood P4 3.4 go bad and RMA'ed it. It was about a year ago, and the CPU was almost 3 years old. I had the receipt but they didn't ask for it. I assume that the ID numbers from the CPU told them it was still under warranty, although it was somewhat close. The process was painless, Intel was very accomodating and shipped very fast. They did not ask many questions about how I knew it was the CPU and not something else. I think I filled out an online form but may have spoken to them also - don't really remember.
My CPU appeared to work but I started getting random BSODs and reboots. I bought a new MB thinking that had gone bad. Problems got worse. Local shop offered to test it (they said they had never seen a broken CPU and I don't think they believed that the CPU was really bad), but in the end they agreed. I RMA'ed the CPU (and returned the MB) and the new CPU has worked perfectly in my old MB. Right or wrong I blame the problem to the stock HSF. I bought a Zalman cooler to replace it.
The warranty was great because otherwise I'd have had to find a socket 478 processor on eBay or start over with a new socket T MB. I'm not sure if Intel would sell you a replacement for a product that was out of warranty.