Intel generally makes better processors, but they are more expensive too. This is usually because they have more "on die" memory or Level 1 memory (built right into the CPU). They are the powerhouses of CPU's - unless you are forking out a lot of money for one of the very high-end AMD chips.
Even then, the higher-end Intel CPUs are probably better than AMD. I currently run an AMD 2.8 GHz Quad-Core w/ 4 MB of L1 cache. It is great for gaming and did not cost me very much ( I got it a year or two ago w/ a Mobo & 2 GB of dual-channel DDR2 for about $120 - refurbished.) I also just built a new computer for my girlfriend w/ an Intel 2.4 GHz Quad-Core w/ 8 MB L1 cache.
Her CPU is actually better than mine, despite mine running faster, because she has twice as much L1 memory. It does make a noticeable difference in speed. I got lucky and found that CPU for $108, but they normally go for $150-$180.
Basically, look for a CPU with the biggest L1 cache that you can afford - it doesn't matter so much if it's an AMD or an Intel. Your DDR sticks, Video Card, and the speed of your Hard Drives will probably make a bigger difference to your gaming experience than your choice of a CPU, because those items usually end up being the limiting factors. Get as much DDR as you can, at least 4 GB (but 8 is better), and make sure you are using a SATA Hard Drive with the biggest built-in cache that you can find (there are some good 1 TB Western Digitals out there w/ 64 MB of onboard cache.) Another thing to think about is the pairing-up of AMD and ATI.
They work together to get the most out of their CPU/GPU combinations and they are a good combo. However, I would still lean towards the nVidia GPUs for gaming, myself, as they seem to have fewer issues than ATI, over my years of experience of building computers. "Factory Refurbished" parts are actually the way to go when building your own computer.
They cost a little bit less and have been thoroughly tested to work like new. Many of them have not even been bought and used by a customer before - they get taken out of a pre-built system that either did not get sold or had some cosmetic damage done to the case. In manufacturing computer parts, most batches of brand new parts have only a certain number of every 1,000 that actually get tested - so it is more common that you will run into one that doesn't work, right out of the box.
Do some basic research, this question is asked way to many times every single day and if you're incapable of doing basic research, you're probably going to need a hand for every single step of the way. Raw performance, AMD's got the upper hand, however, gaming related performance Intel's better. Of course, there's a major price difference and you typically get more bang for your buck by going AMD.
Which of course frees you up to purchase an SSD or a better GPU than you originally intended.
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