Well basically if you want to put an 800 MHZ CPU in a 433 MHZ mobo, you are wasting that 800 MHZ CPU. It will consequently run at 433 MHZ (the same as the mobo), because it cannot process faster than the bus going to it, so it's a choke. So the answer is, yes it will work, if the cpu is the type socket that will fit into your motherboard, it will just be wasting quite a bit of speed.
Now the confusing part is the hyperthreading(intel?) and hypertransport(AMD?). The RAM is supposively independant of the BUS speed with these. I'm not really that familiar with them to tell you a lot about them. Generally i just stay up on the Dual-channel RAM that is the best price for the most power. I'm using some pc3200 in mine right now. But in the past you used to have to match up the speed of your RAM to your FSB, but i'm not sure if that's the case now.
Like wargy said, the socket is the most important part. You cannot put a socket 478 into a socket 423, it just won't work. One of the biggest things i usually look for in my CPU's when i buy them is there LVL2 cache, FSB to match my mobo, and lastly clock speed.