The chipset usually refers to the Northbridge and the Southbridge chip. The Northbridge chip handles the data from fast devices such as your video card or RAM. Your Southbridge handles data from slower devices such as your PCI bus and IDE controller
In terms of AMD that only applies to socket A systems.
An AMD64 system doesn't have a north or south bridge it's just 'the chipset'
Basically in short the chipset is where data from your slots and HD's and whatnot are handled and then routed to your CPU.
On socket A systems the northbridge handled memory operations, whereas now the AMD64's have an on die memory controller so no more northbridge.
I believe on a lot of intel boards a new CPU meant a new chipset, but that doesn't always apply, not to AMD atleast.