raminux
1- I read it is possible to overclock RAM's as well. Do Ram's overclock independently of CPU's? Or they have to set in compatible speeds together?

 
As lephron has already described, ram speed is a function of the memory multiplier and your base clock. On an SR-2, overclocking is accomplished by increasing the base clock which increases the CPU frequency as well as the memory frequency; the two, in essence are linked.
 
Xeons have locked multipliers--meaning that the final clock will always be a fixed multiple of the base clock. E.g. for my X5650's, which have a multiplier of x20, means that at a base clock of 133, the final speed will be 2666. Memory on the other hand has a variable multiplier which is determined by the specifications of the particular CPU you are using (since the memory controller is integrated). On my X5650's, they support a memory speed of DDR3-800, DDR3-1066, and DDR3-1333. Each of those speeds are a function of the default base clock of 133MHz. 
 
DDR-800 -> 133 x 6
DDR-1066 -> 133 x 8
DDR-1333 -> 133 x 10
 
The final memory frequency, again, is a function of the multiplier and the base clock. If I set my base clock to say, "195" and DDR-1333, then the final speed is actually 1950MHz. See http://ark.intel.com/ for information about what kind of memory speed your choice in processor supports.
 

raminux 
2- I can buy either DDR3-1333 or faster ram's: DDR3-1866, DDR3-2000 or even DDR3-2133. Prices only slightly differ so that if buying faster ram helps in overclocking, why not? My question is if it helps? 

 
 
The point in buying faster memory is to make sure that your memory doesn't become the limiting factor in increasing your base clock. If you're memory is running too fast at a higher multipler and an increased base clock, then decreasing the multiplier will put less stress on your memory.
 
Ex: Say I bought memory rated for 1866, but my base clock is 195.
A multiplier of 10 (DDR-1333) and a base clock of 195 would be too much.
Therefore, if I change my multiplier to 8 (DDR-1066) then my memory will run at 1560MHz.
 
Generally, the SR-2 hits a wall at around 200MHz base clock. And from the above example, you can see that 1600MHz memory would have been sufficient. This is why many recommend that at a minimum 1600MHz memory for overclocking Nehalem/Westmere CPUs.
 
tl;dr
Purchasing faster memory will only improve performance if you opt to run them at their rated speed. Memory overclocking has a nearly negligible impact on everyday performance. In memory, quantity matters more than quality (speed).
 

raminux 
3- If I buy faster RAM, do I still need to adjust them or overclock them somehow? 

 
 
I already explained it above, but in short, to run memory at anything above 1333MHz on a 5500/5600 series Xeon, you must overclock by increasing the base clock.
 

raminux 
4- Is it possible to overclock ECC RAM's? 

 
 
Yes! But, you won't find any modules that are rated at typical overclocking frequencies. The only way to do so is to buy modules, possibly overvolt them (max of 1.65 per Intel) and manually tweak them.