Chelsea continued to pen their rivals back after the break and Ashley Cole fizzed an angled shot wide.
Chelsea managed only to trouble the referee, who booked John Terry, Lampard and Ashley Cole in the first half.
The best chance of the half was saved for the final minute, but Anelka saw his shot from a tight angle well saved by James and Ashley Cole's effort from the rebound was ballooned well over.
Chelsea's anger boiled over minutes later when Frank Lampard and Ashley Cole were both booked for dissent after which Joseph Yobo went close for Everton as he hooked his foot around a low right-foot volley to force Cech into a smart low save.
He will have been concerned by England's defensive vulnerability, but he was able to see injury-plagued Tottenham defender King complete 90 minutes and his worries will be placed in context by the knowledge he has Chelsea duo John Terry and Ashley Cole to recall.
But Leighton Baines curled a free-kick into the top corner with 75 seconds remaining, and although the left-back failed to convert Everton's first penalty in the ensuing shoot-out, misses from Nicolas Anelka and Ashley Cole allowed Neville to step up and fire home the decisive kick.
Chelsea made a double switch with 17 minutes left, sending on Tal Ben Haim and Shaun Wright-Phillips for Ashley Cole and Joe Cole.
Chelsea and England stars Ashley Cole and John Terry were there, alongside Olympian Denise Lewis and EastEnders actress Brooke Kinsella, whose brother Ben was stabbed and killed in London this June.
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It is alleged black players Ashley Cole and Ashley Young were singled out by a Twitter user after they missed penalties against Italy.
Salomon Kalou put Chelsea ahead when he volleyed in from Frank Lampard's cross, and later Ashley Cole hit the bar as the Hammers were pinned back.
Suddenly, the Blues looked a hungrier and more purposeful outfit, with Ashley Cole and Jose Bosingwa providing width in the final third and Frank Lampard probing busily behind Didier Drogba, Nicolas Anelka and Florent Malouda.
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And a wonderful one-two between Ashley Cole and Lampard almost saw the former tee up namesake Joe to slide in a second.
Having seen what Olympiakos had to throw at them in the first period, the Blues showed greater desire to commit men forward after the break, with Ashley and Joe Cole featuring more prominently than they had earlier.
And as United pressed at the very end of the game, it took goal-line clearances from Ashley Cole and Andriy Shevchenko to deny first Cristiano Ronaldo and then Darren Fletcher and ensure Chelsea claimed a vital three points.
Now the latest tremor looks to have shaken Chelsea teammate Ashley Cole and Chelsea club secretary David Barnard.
Arsenal have reached the final after playing most of the competition without Ashley Cole and Lauren - their first-choice full-backs.
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They offered little in the first half and fell behind as Ashley Cole fouled Jack Collison with a rash challenge in the penalty area.
Van Nistelrooy has pleaded guilty to an FA charge of serious foul play for a challenge on Ashley Cole and will be banned for three games.
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The written report was scathing in relation to the changing testimony of Ashley Cole and the role played by David Barnard as the conduit to the FA investigation team.
James was in action again after 40 minutes, turning a shot from Vittek over the top after a mix-up between Ashley Cole and Matthew Upson had let in Slovakia's captain.
Matching up against Chelsea's diamond formation, with Rooney floating and Antonio Valencia pushed up against left back Ashley Cole, United stifled their opponents' rhythm and just had the better of a keenly fought first half.
Defoe was again uncharacteristically wasteful after more good work by Glen Johnson and was frustrated again when Ashley Cole's cross fell just behind him in front of an open goal.
Bridge's move is likely to help his bid to claim the left-back slot ahead of Ashley Cole, and Beattie said he hoped to boost his own England hopes during the coming season.
Warnock has just one cap while Baines is yet to play for England but the pair will be looking to make an impression on Capello with first-choice left-back Ashley Cole injured and Wayne Bridge pulling out of the England squad.
In the penalty shoot-out, both sides missed once before Ashley Cole fired over and Neville sealed a 4-3 triumph.
"Ashley Cole is, and will be, remaining an Arsenal player, " he said.
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Even with Benitez's decision to rest the likes of Eden Hazard, Ashley Cole, Ramires and Juan Mata, Chelsea was expected to see off a QPR side which had already lost 12 of its 20 league games.
Look back through the years and you'll find folks like Mathieu Flamini and Gilberto Silva (2008), Thierry Henry (2007), Ashley Cole (2006), Patrick Vieira (2005) and Giovanni Van Bronckhorst (2004).
Critics believe the furore over Wayne Bridge and John Terry, plus an injury to Ashley Cole, have seriously dented England's chances in the tournament.
"Clearly, Darren Fletcher's won the ball, Ashley Cole's never touched and has jumped up in the air, and then (Didier) Drogba's pulled Brown to the ground for the goal, " Ferguson told reporters.
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