faster RAM allows for a higher FSB speed without having to overclock your RAM too. DDR2-800 is good up to 400 MHz FSB for a nice 1:1 ratio but to go over 400, not only do you need to push your CPU harder, but also your RAM, which pretty much always involves pushing your northbridge harder too
Fewer components running faster than stock = lower power consumption, lower heat production, and lower chance of something breaking
Another thing to keep in mind is you'll be able to get tighter memory timings by underclocking higher-speed ram, for example underclocking DDR2-1066 to DDR2-800 would make it easier to get 4-4-4-12, or possibly even 3-3-3-10 (but that one would require some serious tweaking to pull off and be stable)
Edit: Also I'm not sure about the prices in the store you're sourcing from but I recently bought 8GB DDR2-1000 for about €10 more than I'd have paid for 8GB DDR2-800. Since my FSB runs at 400MHz, the extra headroom is nice for tighter timings