The most popular chips to cool woudl be
1- the Northbridge. it is a large chip taht will be very close to your CPU.. it shoudl already have a heatsink on it as you have a p3 and all never motherboards have a HS on it by default. But an orb would cool it better than the OEM heatsink... take it off and slap the Borb on
2- the clock generator,,, that often gets warm and people have reported that cooling it will make a more stable computer and you can often reach hight FSB speeds... This chip is very small and has a smaller metal rectangular chip next to it.. i thin the metal part will say 14.3xxx on it. this is also close to your cpu on it.
3- move you hand around in your computer when it is on. feel a warm spot?
then you may want to cool that area.
i dont think you can ever run into problems when you add extra cooling, as extra cooling is safer as it is... even though that by added heatsinks you can void you warenty, as it is a mod to the product.... So if you car about you warenty check to see if you will void it if you do add/change heatsinks on your motherboard