The Core 2 Duo by far outperforms the Pentium 4 (P4). The P4 is a weak processor, and it's TDP is ridiculously high for a poor performer; not many people use P4's today.
I've noticed that they both fit the same socket, 775. If you're looking to upgrade, the Core 2 Duo is the way forward. However, if your motherboard accepts a Core 2 Duo, chances are you can also upgrade to a Core 2 Quad (C2Q). C2Q processors are still ranked under high-end within benchmarks, whereas the Core 2 Duo's are begging to slowly show their age and are going down in ranks.
If you'd like me to check your motherboard's CPU compatibility, please reply back with your motherboard model. Personally I believe you could benefit from a Core 2 Quad if you're interested...