Now that the memory bus is isolated from the system bus on AMD and Pentium systems, you often do have a choice of what memory speeds you can run. It will be motherboard/chipset specific, so consult your manual.
In the real world I can't imagine there being much of a difference between 266 and 333, unless you have a really fast processor and are really seriously working it with a memory intensive application (say imaging, video, games)....even then I couldn't imagine more than a few percentage points of improved performance, probably not worth the money (unless you were getting a new system to start with).
I have read some motherboard reviews where systems perform abnormally poor when not using the memory speed that the chipset was designed to run at....but, those could very well be isolated cases. If your system appears to be running fine, it probably is. If your receipt says "333Mhz", though, then you better raise some heck.
Slackmaster 2000