I'm in the process of building up 8 new Pentium 4 machines for work. I bought genuine Intel boxed CPU's with fan and heatsink.
I powered up one of the machines to start loading software and got an cpu over- temperature alarm almost immediately.
I removed the fan-heatsink assembly and discovered that the copper cylinder that's press-fitted into the aluminum radiator was loose and had slipped back away from the CPU chip. The cause was obvious, the aluminum radiator had cracked top to bottom when the cylinder was press-fitted into place.
I called Intel and they are sending a free replacement heatsink-fan assembly.