One of the difficult decisions to make is which processor to use.  Of course your choice of processor family is dictated by your motherboard and vice-versa.  Not so long ago there was really only one choice if performance was an issue, an Intel processor.  Today there are two brands to look at when building a PC, Intel and AMD.  Cyrix also has i386 compatible offerings but I would not concider them for anything other than a true "value" (read that cheap) system.

First off forget the bleeding edge.  Unless you have lots of extra money to blow getting the fastest processor is a waste of time and money.  After all in two months a newer faster chip will be out.  Instead check the price guides to find the sweet spot.  Generally speaking a processor third or fourth on the list will be available at a significant drop in price compared to the fastest.  Use the money saved to get a better quality video card and/or ram.  You'll end up with a system with better overall performance if you don't put all your eggs into the CPU basket.

Now which is better INTEL or AMD?  You won't drag me into that argument.  Go to the news groups and forums if you want to get into that debate.  As of right now AMD seems to be delivering the best bang for the buck but this is a battle that constantly see-saws back and forth.

The big question for most users is do I get the full fledged processor (Pentium III or Athlon) or do I get the value version (Celeron or Duron).  Some of you are no doubt thinking why doesn't he include the Pentium 4 in that list.  In my humble opinion (IMHO) the Pentium 4 is a processor in search of an application.  There are no apps available to take advantage of its new architecture.  The end result according to all the benchmarks that I've seen is that in real life the Pentium III and Athlon will equal or better its performance.  Now back to the original question.  The answer is it depends.  If you are a power user or gamer you'll want the full fledged processor offerings.  If you are a regular home user the value versions will serve you well.

Just remember that the competing chips use different socket (and slot) designs.  So unless you want to replace the motherboard as well, upgrades will have to stay in the family.