I recently put together a system with a Pentium D 940 (3.20Ghz) CPU onto an Asus P5DW2 Premium motherboard. I have 2Gb PC6400 and a 512Mb DDR3 7800GT.
Now I don't do any overclocking and the heatsink I used was the standard issue that comes with the pentium processor (I know thats not ideal).
What average temperature should I be looking at for a normal system that would be running 24/7 (not always necessarily gaming or multimedia-ing)?
After about 30mins it was running at 50'. My old system which had a 4400+ AMD was running at 30'-40' whilst running 24/7. I'm assuming it would shut down Windows before deciding to continue at a "not so healthy" level?
Any CPU made in the last five years or so will be able to shut itself off if it gets too hot. That value is set by the chip and can also be altered by motherboard ACPI BIOS settings. The OS is usually aware of these settings and also knows how hot the CPU is at any certain time. So your chip generally can't kill itself by overheating if it is not overclocked.
Pentium Ds (or any NetBurst chip) run pretty hot, but are made to handle it to some extent. Mid-50s for a 65nm Pentium D is pretty normal from what I hear. They run significantly hotter than the Athlon 64s/X2s do. I do wonder why you got a Pentium D 940 to replace a 4400+ though. The 940 is no faster than the 4400+ in almost everything.
50c (122F) would be an alright temperature for the CPU. However, if that is the ambient air temperature then I think you would want to remedy it. Remember that you've probably got 2 temperature readings:
CPU Temperature: The temperature of the CPU
Case Temperature: The temperature of the air that is inside of your case
CPU's can run into the 50's and 60's, but case temperatures should not. If the numbers you have given us are your case temperatures you should consider increasing the air exchange between your computer and the outside environment.
People bitch and moan all day about these P4's running so hot, but it's not bad if you just buy an aftermarket HS/F. If your worried about using an aftermarket HS than why build your own computer in the first place? The Artic Cooler Freezer Pro 7 is not only much more efficient than the stock Intel, it's also MUCH quieter. With stock HS/F I idled high 40's to 50C. After the Artic Cooler and some Artic Silver 5, my cpu idles 30-32C and might hit 45C under load. That's about 3-4C degrees cooler than my roommates Athlon XP.
If you are running 24x7, I'd recommend you get RightMark (free) to step in and adjust your voltages and clocks. It will reduce your power (and therefore your heat) when it's idle (unless you plan to keep it actually under load 24x7).
I have my comp running as a DVR 24x7, and even though I have it overclocked for games, it idles down to less than half power and keeps real cool. I've disconnected all the extra case fans and adjusted the cpu fan to run slower.