CPU support depends on the chipset. Intel 8 series chipsets, for instance, support only Pentium 4 and Celeron processors. Find out your chipset using a program like CPU-Z, then google it to find Intel's page on it, which should list CPU support.
And even then the motherboard's BIOS might not support an upgraded processor, especially if it's an OEM motherboard.
I'd say overclock, except P4s overclock like crap, especially the later HT ones. And the 3.8GHz ones are rare and cost a fortune.