Pentium 4: Intel's mainstream processor, it's an okay CPU but it's not the best
Celeron: the budget version of the Pentium 4, is not as good
Xeon: Intel's server CPU's. They're powerful, but are outperformed by AMD's Opterons
Centrino: Intel's mobile technology, not a CPU, it's designed for the Pentium M,
the Pentium M is designed to save battery power in a Laptop, and is not very powerful
Athlon XP: AMD's previous generation CPU, comparable the the Pentium 4 they don't run at as high frequencies but their architecture is better, so they run more or less the same in terms of performance.
AMD 64: come in 3 sockets, socket 754, 940 and 939. AMD's current CPU, which perform better than Intel's Pentium 4's although they don't run at as high frequencies.
socket 754's were the first to come out, and they are mid to high end although they don't suport dual channel memory (where 2 RAM disks work together to run faster)
socket 940 is designed for the Opterons (server CPU's) and the high-end Athlon 64 FX CPU's. they do support dual channel
socket 939 is the latest, faster than socket 940. It is for higher end Athlon 64 processors
Sempron:designed to replace the Athlon XP's as low-end CPU's
currently AMD's mid to high end CPU's are the Athlon 64's and Opteron's, their low end CPU's are the Athlon XP's and Sempron's
Intel's high end CPU's are the Pentium 4's and Xeon's, their low end are the Celerons and Pentium M's (although the Pentium M uses a lot less power)
probbably the best choice of CPU currently is the Athlon 64