Um.. I'm a pretty successful system builder. I've built almost a thousand systems with the E8400, and most react more like mine than yours with voltage. The E8400 is a great overclocker, but its also well known to be a bit voltage hungry. Most will require 1.40-1.45v to get above 4GHz, and usually 1.425-1.45v to be (orthos) stable with a stock cooler or cheap aftermarket cooler. But we don't install high end coolers like yours either, so that might make a little difference.
Honestly, most CPUs that perform similarly to yours would have been binned up to E8500. ;-)
Mine has been running fine at 4.0GHz on air for over a year, and is about ready to be retired (switching over to i7 860 system). But for whatever reason, it requires slightly more voltage on Win 7 than on XP to be stable, and that's what I've seen commonly on the systems we've built.
After building, we overclock and benchmark every system to be sure its stable and record the results, before putting it back to factory settings (in case our customers try to OC, so we know what they can and can't do). In fact, we've only used 2 motherboards for the most part, Gigabyte's EP45-DS3P and EP45-UD3R. I tell anyone wanted to OC to 4GHz to simply raise FSB to 445x9, raise MCH .2v, and set CPU voltage to 1.425v. If its not stable, increase CPU voltage to 1.45v. 19 out of 20 times that is all that is needed. The few exceptions need a better cooler.
Here's mine, and something for you to shoot for.
http://www.ultramaxcc.com.au/images/445GHz.jpg