If your board can do a 333MHz FSB, you should be able to use up to the 3000+.
For 266MHz FSB, the best is the 2400+. Their WAS a 2600+ @ 266MHz FSB, but is was a "limited edition", and is next to impossible to find (for the record, it was the highest clocked Athlon XP cpu: 2.25GHz).
Edit: The 333 in the name fooled me; your board can only handle 266Mhz FSB.
If you want a nice upgrade, poke around here:
http://www.newegg.com/app/ViewProduct.a ... rty&DEPA=1
They have nForce2 boards (which support ALL Athlon XP CPUs) for as low as $49. If you're gonna grab a new cpu, might as well spend $50 more and get a much better upgrade. And yeah, you can still use your 266Mhz DDR memory on a 333/400Mhz FSB cpu.
$80 will net you an Athlon XP 2500+; $90 for the 2600+. Very nice CPU's for the money, but be aware that the overall performance will be a bit less with the 266Mhz memory...
For the coolers, yeah, the stock retail will work fine.