The reason the older and slower CPUs sometimes cost more is that they're no longer manufactured, I would imagine, and thus harder to come by.
If you get a new motherboard, besides a new CPU, you might need to get new memory and possibly a new video card (only if you're using the onboard video though, since I see your current one has PCI Express).
Your old memory would work in a newish motherboard which accepts DDR2, but it would be slowing things down. You should be able to get quality paired 2 GB memory sticks (total 4 GB) for around $50.
Also, I wouldn't bother getting a separate HSF unless you really plan to overclock the hell out of the CPU. Stock HSF units these days tend to actually be pretty good. As janulhannes alluded to, it's more important to make sure your case has decent airflow. Primarily, a fan towards the front bottom of the case pulling cool air in (across your hard drives if possible) and one in the back expelling hot air from around where the CPU is.