I see we're thinking alike.
I've had a look through the Radio Shack website, and think I've found something suitable -
thermal fuses. These go open circuit at a preset temperature. The 72C or 77C ones look like they could work if I connected one in series with the ATX "power good" wire. If I remember this correctly, "power good" needs to be grounded for an ATX power supply to start; Interrupting this wire should shut things down. It wouldn't be a clean shutdown, but I'd much rather reinstall Windows than have to get a new cpu.