What’s in a CPU?
So, what’s the difference between all these difference types of CPUs, and isn’t having the highest clock speed the most important?
First, a quick discussion of the different chips available, noting that the number and variety of processors continues to grow and grow.
Core 2 Duo: Intel’s new range of dominant chips, having recaptured the market for Intel, and currently available in clock speeds from 1.8GHz through to 2.66GHz.
Pentium IV: For many years Intel’s flagship chip, now overtaken and being replaced by the Core 2 Duo range. Currently available in speeds up to 3.8GHz.
Pentium D: Intel’s earlier dual processor, in clock speeds from 2.66GHz through to 3.4Ghz. These are the non “hyper threaded” dual processors.
Pentium “Extreme”: Another dual processor forerunner to the current Core 2 Duo systems – being higher performance (hyper-threading) than the Pentium D.
Pentium III: Intel’s old workhorse, now only found in old systems. Was available in speeds of 450MHz to 1.4GHz.
Pentium II: As for the Pentium III, no longer available for retail it may be found in some very old systems. The fore-runner of the Pentium III and similar in most respects. Was available at clock speeds up to 450MHz.
Celeron: Also from Intel. Built to recapture the lower end PC market. Basically a cut-down Pentium II/III that sells for about 1/2 to 2/3 the price of Pentium chip at the same clock speed but comes somewhat close to the same performance. Current speeds are 2.13GHz to 3.33GHz.
Centrino / Pentium M: Processors intended for the mobile (laptop) market – from Intel. Speeds ranging from 1.1GHz to 2.26GHz.
Athlon 64 X2: AMD’s dual processor systems – the 3800+, 4200+, 4400+, 4600+, 4800+, and FX-60.
Athlon 64: AMD’s top-end CPUs – the Athlon 64 2800+ through to 5200+; as well as the Athlon 64 FX-51, … FX-62. Note that there can often be multiple models of each – a socket AM2 (most recent), a socket 939 (relatively recent), socket 754 (oldest).
Athlon XP: AMD’s older workhorse, the Athlon XP is available at clock speeds from 1.67GHz (XP2000) through to 2.2GHz (the XP3200). The Athlon XP was a direct competitor with Intel’s Pentium IV, matching it in performance in a number of benchmarks – despite having lower clock speeds (see discussion below).
Sempron:AMD’s cut-down Athlon 64 chip; aimed at the lower end of the market. Comes in speeds from “2200+” to “3400+”, for Socket AM2, Socket A, and Socket 754.
Duron: AMD’s superseded low-end chip (cut-down Athlon) competing in the same market segment as the Celeron, at a clock speed up to 1.8GHz, and (was) typically significantly cheaper and better performing than the Celeron (although limited by motherboard choices). Not available anymore (replaced by the Sempron).
Opteron: Server market chip from AMD.
K6-2/K6-3: Superseded AMD chip that might be found in some very old desktop or laptop systems.
Secondly, some points to hopefully make the selection of CPU better informed, though perhaps not simpler…
The importance of clock speeds: There is no doubt that faster clock speeds do lead 
to faster systems but the relationship is far more complicated than most retailers might lead you to believe. Firstly, the clock speed indicates the number of times per second that the CPU does its work. It doesn’t indicate how much work the CPU does each time. This can be significantly different between types of CPUs. For instance a Core 2 Duo CPU is faster than a Pentium-IV of the same clock speed for virtually every task. Indeed, as an (old) example, the Athlon at 2.166GHz outperforms the Pentium-IV running at 2.66GHz in nearly every benchmark. Secondly, the relationship between CPU clock speed and speed of running programs is not linear. For instance, perhaps you might expect a Pentium IV at 2.2GHz to run the same program twice as fast as a Pentium III at 1.1GHz. In reality the speed increase would be far more modest, surprising if it got near 50% (varying highly dependent on the type of application).
Intel vs. AMD: Fundamentally, there are only two manufacturers in the CPU market: Intel the “elder statesman” with their Pentium family of chips (Pentium I-IV and Celeron) and Core Duo systems, and AMD with their Athlon and Sempron chips. Dominance of the market has see-sawed several times, with Intel currently in ascendancy due to the Core 2 Duo range.
High End, Middle, & Low End: Both Intel and AMD make a range of chips. Not only are those chips differentiated by clock-speed, but by inherent features. In particular both manufacturers produce “cut-down” versions of their high performance chips aimed at the low-cost end of the market. These CPUs are known as the Celeron (from Intel) and Sempron (from AMD). While they are significantly cheaper than the flagship chips from which they are derived (Pentium for the Celeron and Athlon for the Sempron) their performance is not significantly poorer. Indeed both the Celeron and Sempron are known for their ability to be overclocked, making them a common choice of performance hungry, but cash-strapped system designers. An emerging market within the last couple of years has been the middle-level systems from both competitors. These machines use the low-end Pentium-4 (Intel) or Athlon (AMD) chips. Machines with these CPUs are considerably cheaper – cheaper chip, cheaper (slower RAM), and cheaper motherboard – but still perform very well.
Pricing Escalator: There appears to be a rough price structure which the market follows/enforces for chips. The current top-end chip tends to retail for between $1000 to $1400 with slower variants being priced between that high-point and a bottom point of around $100 (the slowest Celerons/Semprons and Athlons). As new and more powerful chips appear (and they do on a regular basis) existing chips are pushed down the scale: those on the bottom of the list disappear and are no longer available for sale, while those higher up drop correspondingly in price. This is the pricing escalator. In this sense both AMD’s Sempron and Athlons are a bargain: they tend to be cheaper (as well as faster) than the corresponding (same clock speed) Celeron/Pentium-IV.
The importance of motherboards: There are currently seven main CPU choices above, Intel's Core 2 Duo systems, Celeron (cheapie), and Pentium IV, or AMD's Sempron (cheapie), or, Athlon 64 (2800-5200, FX-51 to FX-62) – single and dual.. At the current time the older Intel Celerons use a Socket 478 or Socket 370 motherboard, with all other Intel chips using the Socket 775 motherboard. The situation for the AMD CPUs is more complicated. Semprons and Athlon 64s can be found across three motherboard classes – 939, 754, and AM2 (the high end). Hence upgrading (e.g., replace Pentium-III with a Pentium-IV, or Celeron with a Sempron, or …) is often not simply a matter of purchasing a new CPU, but also entails the cost of a new motherboard. These days it is also likely to require the acquisition of new (different) RAM.
Heat, Cooling, Fans, & Ventilation: Modern CPUs, and just as importantly graphics chips, are power hungry and generate a lot of heat as a result. This thermal loss and overall power consumption has several implications; particularly if you’re going to build a system. First, you should have a power supply of sufficient wattage to feed the hungry CPU and other system components (e.g., graphics card). Secondly, you need good ventilation. That begins with the heat-sinks and fan mounted atop the CPU (look at the internals of any modern computer and you can’t see the CPU chip – what you’ll see is a large fan and heat-sink at the CPU’s location), but extends to secondary fans to cause air flow through the chassis (case) of the PC in order to maximise heat dissipation. This is such a serious problem that the latest CPUs are engineered to throttle their performance (run at a lower clock speed) when high temperatures are detected.