DDR2 1066 work with CPU w/800Mhz FSB?

You don't need it, and you will not use the full speed of the buss it is capable of running at, (unless you plan on doing some really big overclocking) but it will work.
You MAY have a hard time getting it to boot. Sometimes if your memory runs at voltages higher than 1.8, your board will not detect and set the correct voltage. If this happens, you will have to find a stick of memory that runs at lower voltage, install it to get into the BIOS, and reset the memory voltage for your particular memory. Most of the time though if you try to boot with just 1 stick initially, it will work well enough to get you into the BIOS. If you have trouble getting the board to POST after your build, suspect this problem first.