The chaps over at MadShrimps overclocked the Pentium D 805 and Celeron D 356:

Pentium D 805 - The price of this CPU is extremely low which makes it a winner as a budget CPU, even when not considering overclocking, a Dual Core CPU at this price is the best thing Intel has done up until now this year! They've also included a better standard Heatsink/Fan combo which supports auto fan speed adjustment, allowing the Fan to be quite silent when running idle. For the price this D 805 runs almost as fast as the best out there when overclocked. The draws backs are its high power consumption and when overclocking you'll have to invest in better cooling to keep the temperatures down. The Asus P5LD2 limits the overclocks to ~200FSB, going any higher you loose the SATA ports.

Celeron D 356 - With its smaller manufacturing process this CPU runs cooler and uses less power, when you step on its tail it overclocks like crazy even with modest air cooling, reaching speeds which could only be had with sub zero cooling one year ago. However its reduced cache size makes it slower than the competition even when running at close to 5Ghz! The new Celeron D will make an excellent competitor for AMD's Sempron which has been regarded as the budget-friendly CPU until now?