What motherboard are you using? Some motherboards don't work well or work at all with certain brands. Most common problems are when people use OCZ in an Asus board - those two don't play nice together.
If you have an Asus, I would recommend you stick with Corsair/XMS and Crucial/Ballistix. My friend has an older (478, I think) Asus board with Kingston value, and I hear it works well. But I don't really know all that much about Kingston, especially not its HyperX line.
If you want to overclock to extreme heights, by all means get DDR2-1066 (PC-8500). But for normal use, you'll be better off with PC-8000 and a better video card.