I have an AMD Athlon 3500+ and it out-performs my friend's CPU (@ 3.8 Ghz, though not an extreme). Athlon 64 processors out-perform all the Pentium 4's, not to mention the deffect the P4's have.
The P4's over 3.0 Ghz get so hot that they under-perform when they heat up. You could be in the middle of a high-end game, then suddenly get lag bcz your 3.8 Ghz processor just dropped to 3.2 Ghz to prevent frying itself [they do this no matter what kind of coolant system you have].
Go for the Athlon 64, though the 3800+ is a waste of money - stick with the 3500+ (which I have and can vouch for) which is boatloads cheaper.
all the way!