As far as socket 939, the newer steppings generally perform better and overclock further than the older ones. For instance E6 stepping is nearly always better than E3 or E4, at least in my testing of them with air cooling.
Clawhammers, Winchesters, and Newcastles don't typically overclock that well, on air at least. They usually net me another 300-400MHz, maybe 500MHz with a really good one.
Venice CPU's with a decent board, good cooling, and some good ram you're pretty much guaranteed a 600-800MHz overclock (up to 900-1000MHz with the low clocked chips with high multipliers (Athlon 64 3200+, and some others).
San Diego's aren't bad, but they're stock speed is set not far away from their max speed no air. I usually get them up to 2.8-3.1GHz.
Manchester dual cores aren't bad (E4 stepping), I usually got a 500-600MHz overclock from my Athlon 64 4200+ X2.
Toledo-based dual cores (E6 stepping) are king as far as the dual cores are concerned, I typically get 800-900MHz overclocks out of them. I ran one daily at 3GHz (stock on that one was 2.2GHz). It ran a little warm at that overclock, but it was still stable.
There's an overclock database
here, I'm not sure how often it gets updated these days though.