That depends on if you are using AMD or Intel. AMD needs expensive high end DDR2 800, Conroe works fine using less expensive DDR2 533.
Here is a quote from Crashman regarding memory for Conroe...
I seem to be the only one here who cares, but I'm going to tell you something that most other people simply refuse to believe: Synchronous RAM for the 1066MHz bus is DDR2-533, aka PC2-4200, ie, the slow stuff.
But wait you say, that's only half as fast? Nonsense. 1066MHz FSB runs at a 266MHz clock rate. DDR2-533 runs at a 266MHz clock rate. But wait you say, it's still only half the bandwidth because of Intel's Quad Data Rate FSB? Nonsense, that's what dual-channel is made to fix.
So why do higher-speed modules win benchmarks? Latency. Think about it, using DDR2-800 CAS4 as an example: a 400MHz cycle is 2.5ns, so that CAS4 has a latency of 10ns. If you compare that to DDR2-533 CAS3, well, the same math says its over 11ns. That sounds small right? The difference in benchmarks isn't that big either, 200 3D Marks is only 3% of 6000 3D marks.
So quit worrying about 1066MHz and start worrying about latency. Corsair has some PC2-6400 CAS3 you might like.