I am looking at building my first system, and I have a question related to
FSB speed and memory speed. For example, if I were to get a Biostar M7NCD
that supports either PC2100 (266), PC2700 (333), PC3200 (400), do I have to
be running my FSB at the matching speed to take advantage of the faster
memory?

For immediate advantage yes.

For instance, if I would get a AMD XP 1800 such that I run by FSB at
266, would it be a waste to go for the PC2700 or PC3200 (unless of course I
plan to upgrade the processor in the future)?

I would get the fastest. It could run more stable and you can add a
faster CPU later for very little. Now that chips are plummeting. The
2500+ Barton was $83 at newegg a few weeks back. Run with PC3200 RAM
that over clocks perfect at 3200+!

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When your PC gives a little they give a lot.
http://www.dslreports.com/forum/disco