I'll just explain it briefly for Intels as that is what I'd assume you are talking about. Intel CPUs are currently quad-pumped in effect so to get a FSB speed of 800mhz you need Ram capable of 200mhz actual e.g. PC3200 speeds but it will be DDR2 normally and since that isn't common you just buy PC4200 (267mhz) or PC5300 (333mhz)*, for a 1066mhz FSB you need PC4200 as a minimum (4*267=1066mhz or near enough). Getting faster Ram can mean you are paying extra for no real reason but it will underclock fine usually and gives you more headroom for overclocking. For the current CPUs it is a shame not to overclock and I wouldn't generally suggest anything lower than PC5300 or PC6400 given it is so cheap.
*nb as it is DDR2 it will be labelled as 533mhz for PC4200 or 667mhz for PC5300, 800mhz for PC6400 etc etc.