AMD is better for games, and the Athlon XP 2500+ and higher (up to 3200+) with the Barton core can be overclocked by a GIGAHERZ!!!(this depends on each individual processor), with the right cooling...(i.e. coolermaster aerolite 7 lite/7+ or coolermaster jet 7). AMD is also a lot cheaper.
Pentium 4 on the other hand is much more expensive and is much harder to overclock(u cant adjust the multyplier, so u have to mess aqround with the FSB/RAM frequencies, and voltage etc....in order to find the right balance and to overclock it most efficiently). P4 is more for bussiness applications and office use.
So get AMD