Does this mean that I won't be able to play some games if I use quad core?
You will still be able to play games and run any app you want. Threaded basically means whether the app is designed to efficiently use a certain amount of processor cores.
Oh, so you're saying that the extra two cores will be there, but just not be used? Do you think that makes it worth the extra forty dollars?
Plus, if I get the quad, will i see a performance decrease than if i used the dual?
Also, what about cooling? If I overclock a 3.0 dual to 4.2, should I improve the cooling, to, say, water-cooling?
All four cores will be used but just won't be used effieciently if the app is not threaded for quads. Whereas the dual core's power would be harnessed to it's maximum. In a lot of games, yes you would see a slight performance decrease when using a quad as opposed to a dual core. There are very few games that can fully utilize quads. The only one I know is Lost Planet: extreme condition. In quite a few video editing and encoding programs, you would see quite large benefits from using the quad. So basically the CPU which is best for you really depends on what you're going to do with the PC. If you're talking about the E8400, it is 45nm processor, which means it's very power efficient and therefore it runs very cool. Although to get to 4.2GHz, I would have thought you'd need some aftermarket cooling. I think you should be able to get to at least 4GHz with this: http://www.newegg.com/Product/Produc...82E16835186134
Liquid cooling is only worth if you get a high end cooler, if not, it's often outperformed by the higher end air coolers.