Did you contact where you bought it from? When my celly 566 died (within the first year), I contacted my vendor, and they dealt with the RMA to Intel.
If you deal with either vendor or Intel...
If you use a slocket, check Intel's slocket recommendations, if you own a non-approved slocket, lie and tell them you've got an approved slocket, or a board with slottie and socket on board.
Don't tell 'em you overclock!
DO Tell them the steps you've done to try to get it working, and diagnose it is the CPU that's died i.e. swapped in a different (known working) CPU, etc.
They asked me for just the chip to be returned (no Heatsink- good as my official Intel one sits on my Sister's K6-2 500 system that I built her- or retail packing.)