If you have a Frys near you, you can do what I did which was buy a Core2 e4x00 combo and pad mod it.
I overclocked an e4300 from 1.8Ghz to 2.4Ghz. And overclocked an e4500 from 2.2Ghz. to 2.93Ghz. A good thing about it is that you can use the crappy board that came with the combo to save money, because the padmod tricks the CPU to run the CPU natively at 266FSB instead of 200FSB, thus not overclocking the AGP/PCI-express and other ports which are normally locked on more expensive boards. Though if you go this route, be careful which board comes with the combo. My recent e4500 combo came with a board that can only support up to 800FSB.
The e4300 combo cost me $100 and the e4500 $140.
If you don't have a Frys, then i would suggest buying a minimum of e2x00 series or e4x00 series depending on your budget. These chips are good/easy overclockers because they have lower FSB and high multipliers and thus you can overclock higher but still use lower speed memory (which is usually cheaper). As for a board, I would get one of the newer P35 or G33 boards that can support the new 45nm penryn chips if and when you want to upgrade later.