Of course the speed matters, it determines how fast the memory can operate. You (usually) want to get the fastest speed that you can (limited by the motherboard and price).
Yes, you can put slower RAM in; the system will reduce its RAM speed (not the CPU or other components) to compensate.
If your system can handle up to DDR2 PC2-8500, then it can run the RAM at up to 1066MHz. If you put in DDR2-800 (PC2-6400), then the memory will only run at up to 800MHz. Worse, if you have other RAM modules installed that are faster, then they will all be reduced to the speed of the slowest one.