the DFI NF4 series boards do support SLI.
Sempron's are different to Celerons. their P-rating does actually tell you how they perform. AMD has the P-rating for a reason.
a 3GHZ Celeron will perform less than a 3GHZ P4, howerver a 3000+ Sempron will perform about the same as a 3000+ Athlon 64. and the Sempron's are cheaper.
Athlon 64's are the better CPU's, however Semprons are still great if you don't have much to spend.