I've been forced to dig into this recently as I've tried to do a P4EE review (it turned out the P4EE I had was only 3GHz though, and they don't ship 3GHz versions). Basically, many boards you buy off the shelf probably only have multipliers to 3.0GHz, to go beyond this in most cases you'll have to get a got for a BIOS update. You also need to be careful with the voltages that the board supports - earlier 875's may not be too great with a 1.5V supply. I went out and purchased a 875 board to do the P4EE review on and the manufacturer told me that I may need to solder a capaciter to the board in order for it to recognise the L3 cache!
Basically, be careful.