AMD is considerably better for gaming. Definitely get an Athlon 64.
(Semprons aren't bad for a cheap price, but an Athlon 64 is better and you
can't buy a Sempron 64 for socket 939, but I do believe there are a few that
manufacturers use 939 Semprons.) If you can afford one, definitely get an
Athlon 64 dual-core. I've built two computers with the Athlon 64 x2 3800+,
and both systems fly. A visualization that ate 60% of my CPU (Athlon XP
2400+ that I used to have) in WMP10 eats between 3-8% with the A64 x2 3800+.
More importantly than the processor though, you'll definitely want a really
high-end video card and lots of RAM if you want a really good gaming rig.
Make sure the computer supports PCI-Express x16 because that is the future.
If you can't afford a SLI rig, I'd get an NVIDIA GeForce 7600GT or higher
GPU. Those things are awesome. There's one for $200 on newegg.com, and I
used it in a build. That card is great, and it didn't even require an extra
4-pin molex connector. You must also be aware that there is another Windows
operating system coming out in January (as of now). It's called Windows
Vista. If you haven't heard about it, you have now. It's probably going to
be awesome once all the bugs get ironed out of it. I'd recommend you have a
minimum of 1GB of RAM for your rig, but 2GB or more is better. It would
also improve performance to have dual-channel RAM. Of course, you'll also
want a hefty power supply (especially if you do SLI) and good SATA hard
drives. SATAII drives are even better if you can find a motherboard to
support them.