If you're not going to OC, the retail HSF is fine on an AthlonXP. Of course it's not the greatest, but it gets the job done. Make sure that you include at least one intake and one exhaust fan in your case, in addition to the power supply fan. They don't need to be loud ones, a cheap, quiet Panaflo L1A will suffice. I also recommend some type of cooling on your HDDs, but you'd need that regardless of whether you bought AMD or Intel.
Most of the ultra-cooling freaks are just users who shouldn't even be allowed to know their CPU temps.
Example: an average conversation on, let's say, the H forum.
Poster: "OMG, my full load temps are 60C!!!!!!! OMG, my cpu is too hot!!!!!!"
Me: "Is it stable?"
Poster: "Yes."
Me: "Then what's the problem?"
Another example: a friend of mine (against my advice) bought an Athlon Tbird 1100B setup from Gateway. It has no intake fan, no exhaust fan, the power supply blows hot air into the case, and a meager little HSF (all of this is against AMD spec). The system is very quiet, and although the HSF will (literally) burn your fingers if you touch it, it has been completely rock solid stable for the 18 months he has owned it and has never had a failure of any kind.
My point? A lot of the AMD people who scream about cooling are either looking for bragging rights, or worried about nothing, you decide.
Now if you're OC'ing (like I do), then it's a whole different story, but with an Alpha8045 HSF (or similar) and a bunch of Panaflo L1A's, you can still have performance and a quiet system.