Socket 939 supports hypertransport which kicks up the onboard front side bus to 2gb. Socket 939 also supports dual channel ram. Those two things alone will give you your noticable gamming difference. The socket 939 fx-53 is the top AMD processor at the moment *drool*
939 performs slightly better than the 940 because, like Merlin said, 940 uses the ECC and Registered ram, which is more expensive and slower than normal non-ECC and unregistered ram.
I'd say wait for the FX-55 if you're going into the FX series
socket 939 is slightly faster though, like what was posted above, they don't need registerd RAM