so we're clear you want to move from an AMD x4 940 to an E8400?
To be clear if your looking at a performance increase from that then you'll be disappointed, not to say the E8400 is a slow chip but performance from the 940 (being as it's a quad core) is great.
Now if you were building the Intel build for overclocking then I'm all for that.
With any decent x48 or P45 chipset (the last and final generation of Intel's chipsets for the LGA775) based motherboard and an E0 stepping wolfdale you'll be set.
I'd suggest the higher end Asus, Biostar T-series, one of my own P45 gigabyte series.
If your not looking for some high overclocking (at least 4+GHz) then it's next to pointless with your current rig.
I would invest into a nice case, a water cooling set up, or off topic but a nice 120Hz LCD TV