Did I OC correctly?

It's called Intel SpeedStep.

When your processor isn't being used it underclocks itself. This saves power and extends processor life time.

If you keep CPU-Z open, then start Prime95 and do a test, you'll see the frequency instantly jump up to full speed

Doing some math I guess you've got an E8500 at 400Mhz bus? 400 x 6 = 2.4Ghz, 400 x 9.5 = 3.8Ghz.
Same chip I use, I love the things.

Should be fine. Asus make good boards. Its a P43 which I haven't used, so I can't be certain, it could also be your RAM if you only have DDR2-800 etc.

I'm using a cheap Gigabyte EP45-UD3LR.

I was using an Asrock originally (not a fan myself), I just needed a small bump in Vcore for 4Ghz, once I got past 4 the voltages/difficulties go up quite quickly. Not worth it for most people as you wont really notice the diff between 200 or so Mhz. I can't help myself though.

If it boots to the BIOS, then chances are the RAM is handling it.
I found with RAM if it doesn't work, it wont start, just gives three beeps and that's it.

You shouldn't need quite so much voltage on the NB, I do 533Mhz on 1.28V without issue. I ran my Asrock P45 at 1.5V, and it didn't last long I'm affraid.

Something you can try is a little extra VTT, keep it as far under 1.4V as you can though. Have seen lots of accounts of > 1.4 killing processors (mostly quads). I'm doing my o/c with 1.3V VTT.

If you find you are having to use excessive voltage to get to 4Ghz, then I'd go for a higher end board. Fighting too hard with voltage for a daily PC can be a bit of a risky game and often not worth it. That's what happened with my Asrock, so now I limit myself to stay within a certain range.

Should also point out, check out the overclocking core 2 duo and quads sticky thread at the top of the overclocking section. Much more information in there

Also may be more people who can post up with more experience. I'm no overclocking god or anything.