My specs:

Mobo: Asus A7N8X Deluxe
Proc: AMD Athlon Xp 2400+
Memory: OCZ 2x1024MB 400Mhz Dual channel

My FSB is set to 133MHz and I have the options to set it to 166 and 200Mhz.

As my memory is 400Mhz, shouldn't my FSB be 200Mhz?

133 is your stock setting, you could try 166 but you will be overclocking your cpu. Memory to fsb should be 1:1

I don't think a 2400+ would be able to handle 166fsb. That's an overclock of ~2ghz to ~2.5ghz. Can you manually set the fsb?

Yes I can manually set the FSB in up to 300 (meaning 600 as I am running dual channel).

I have no problem buying a new CPU but I have 2 questions:
1) What CPU (socket A/socket 462) should I buy that will be able to run at 400 FSB? (meaning 200 for my dual channel)?
2) Can my mobo handle 400 FSB? Cause it's logo/box it says 333 FSB?

I believe you are confusing dual channel and fsb. The cpu is currently running at 15(multiplier)x133(fsb)=1995mhz.

1) Unless you're on a tight budget, it would be much more cost-effective to buy a newer motherboard, cpu, and ram. None of the newer cpu's are made for socket A or 478. You would get much better performance out of newer parts.

If you prefer AMD, look at the Athlon 64 x2's or Phenoms. Or if you want to look into intel, look at the core 2 duos or core 2 quads.

2) Your motherboard may be able to handle a 400mhz fsb, but your current cpu would not.

If you're interested in overclocking, I would look into the newer intel core 2 duo's or core 2 quads, as they overclock excellently.

Hope that helps.