The cache helps on applications that benefit from quicker memory access, but only by a small margin. I would estimate the delta between 1mb of and 2mb is something between 3%~5% and then 6%~10% for the 4mb. These estimates may be a little rough, but a 3.3Ghz E21x0 should run on par with a 3Ghz E6xx0.
I got my E6400 last Christmas, when it was the second cheapest C2D available at $200, and still one of the best price/performance parts around. If I were building this now, I'd probably opt for an E2160 or E4x00 part.
The reason to buy a higher end E6750 is because it can achieve higher clocks than the E2160 and has more cache, but the performance difference over the E2160 doesn't warrant the additional costs in most people's budget. E2160 is killer.
And as for the 4-pin connector thing, I was referring to the long, white plug that plugs into the motherboard. Hopefully you'll see a 4-pin add-on that can clip onto the side.