I am building a new gaming system and not sure which DDR memory to get. I don't know if getting DDR2 1066 with CAS5 is going to buy me much performance over DDR2 800 with CAS4. Here is my system.
 
E8400
EVGA 780i mobo
Vista 64-bit
 
Corsair Dominator 4GB (2x2GB) DDR2 1066 with CAS5
http://www.newegg.com/Product/Prod [...] 6820145197
 
or  
 
Corsair XMS2 DHX 4GB (2x2GB) DDR2 with CAS4
http://www.newegg.com/Product/Prod [...] 6820145194
 
Was also considering OCZ, but not sure if they are better then Corsair.

The 1066mhz kit should perform a little better, despite the looser timings. Both of them looks overpriced. But if price isn't an issue, go for the first kit.

This is what I use:
http://www.newegg.com/Product/Prod [...] 6820144216
8gbs, at 800mhz 4/3/3/12 timing at 2.2v. They overclocks to 1066mhz stable and cool, but only at a loose 5/5/5/18 timing.

Thanks. So do you get a much performance gain going from 4GB to 8GB?

Going from 4GB to 8GB gives doesnt really improve gaming performance.  
A better way to use the cost of the extra 4GB RAM would be improving overclocking performance
with a better system cooling setup (upgraded HSF and maybe extra case cooling, aftermarket VGA cooling).
 
For the PC2 6400 CAS4 vs PC2 8500 CAS5 performance comparisons check out the Tom's Ultimate RAM Speed Tests article: http://www.tomshardware.com/review [...] ,1807.html
 
As dagger says its not unusual to be able to OC quality PC2 6400 CL4 RAM to PC2 8500 CL5.  
 
You might want to checkout the 2x2GB vs 4x1GB issue as well.   Usually you can get better performing RAM in the 1GB sticks vs the 2GB sticks.