ARe you leaving it at the default multiplier setting? It could be as simple as the core not being able to hit 1066 (8x133). Have you tried setting the FSB at 133, and if so, did it even POST?
Couple of things to try. First, if you go ahead and try 133, at least you won't be overclocking any of your peripherals. So go ahead and try it if you haven't yet. If you have and it doesn't work, bump up the voltage. I personally wouldn't go higher than 1.95, but that's me. The higher you set the voltage, the more stable your CPU gets, but the more heat it generates (which an fry the CPU). Get GOOD cooling if you are doing that.
The trick that a lot of overclockers try to do is buy a cheap CPU, but not spend much on quality cooling solutions. Unfortunately, it's like putting 87 gas in a jet lear....it just doesn't cut it for serious overclocking. I'd recommend getting at LEAST an Alpha PEP66 v2 fan with a YS-tech (or preferably a Delta). Other good heatsinks are the Thermoengine (again with a delta fan), the Vantec6245 (yup, with a delta), or if you can afford it, the Swiftech fan (forgot the model number). That last sucker costs 80$ though, but it's practically on the verge of being as effective as bad water coolers. You also might want to hold out for a heatsink coming out called the Millenium Copper. It looks like it may actually have the cooling capacity of some water coolers without resorting for a peltier setup.
Beyond getting really good cooling and tweaking the voltage, there's not much else you can do. I would suggest you actually set the multiplier down to 6x133 which would be 800, and bump up the multiplier in .5 increments. Once you get to a stage you can't boot up into, stay at that multiplier, and drop down the FSB until you can.
Check out overclockers.com, overclockercafe.com, and hardocp.com for good stuff on overclocking. And for good fans, check out heatsinkfactory.com, phamcomputer.com, plycon.com, 2cooltek.com, and coolerguys.com.