I'm in the same upgrade situation myself. I'm probably going to go for an AMD Athlon. From what I've heard, it's faster than a Pentium III of equivalent MHZ and some even say it's more stable (I have no idea if this is true).
Another key point is what kind of video card you'll be getting. I've got my sight set on a GeeForce 3D card. It has a processor of it's own so it'll take some of the load off the main processor. Mind you, it's a new card and someone said that it might have some probs. Nonetheless, that's what I'm getting.
Maybe you could put a post here when you get your package and let us know how it handles?
Cosmo