I am assuming your Pentium 4 is 800MT/s (ie 200 fsb), so both ddr2 800 and ddr2 533 will have to be downclocked to run at a 1:1 ratio (the importance of this is arguable though), ddr2 800 runs at 400 fsb so without doing anything really but plugging in the ram you'll be good to go at a 1:2 ratio. As for ddr2 533, it runs at 266fsb, so youre looking at a 4:5 ratio.
At these minor fsb increases I would say timings are more important. So my suggestion would be, for the P4, either get ddr2 533 and downclock it to 200fsb and tighten the timings. Or if you will be upgrading to a Core 2 (1066/4 = 266 fsb) soon get ddr2 800 and either run at it at 1:2 ratio for now or downclock all the way to 200fsb and again tighten the timings until you get your Core 2.
When you do get the Core 2, overclock it to 333fsb and run the ddr2 800 memory at 1:1 ratio (speeds of ddr2 667), with slightly tighter than factory timings.
In conclusion, i would say, no, there is not that much difference between ddr2 533 and ddr2 800 with your P4, but when you get a Core2, definitely go with ddr2 800.