I heard the Zalman cooler was not so great. You'll need a loose fan in the case blowing right on it, anyway.
My dad and I both use an Antec case. His P4 is dead silent in that case and it never even gets warm. My Athlon, on the other hand, requires a Thermaltake Volcano 7 with a HUGE fan running at 3000 RPM to keep temp under control, and boy is it loud. I'm going to try some Arctic Silver thermal paste and maybe a Panaflow fan to replace the stock fan on the Volcano 7. If that doesn't reduce noise, I'll just buy my dad's P4.
Frankly, I've been regretting sticking with AMD ever since I bought it. If AMD doesn't get their act together, cap their cores, and start working on intelligent throttling like Intel, I'm jumping ship for good.
IMO, case mods, like padding and insulation are a waste of money, very heavy, and next to impossible to remove. Buy yourself a good, well-designed case with lots of slow-running fans, rather than patching the one you have with foam and carpet. ;-)