In my opinion, not much of one. I'm sure your PIII 800 runs everything pretty quick as it is. The truth of the matter is that processors are simply too fast now (although many people might argue that nothing could ever be too fast).
My father has a P4 1.4 Ghz and it starts up slower than my PIII 733. No matter what you get now, the performance difference isn't that noticeable unless you're into heavy gaming. Windows will still take forever to load up anyway, because it's still has to read from the hard drive (which right now is the biggest bottleneck in any PC).
I would say if you had a PII 300 or a PIII 500 you might think about upgrading, but if I were you I would wait until the newer Northwood P4 came out (versus the current one which is the Williamette core). The Northwood is supposed to be a lot better core.
Depending on your needs and what you currently have, you might find it better to upgrade your video card and maybe add more memory if you would like a bit more performance. But again, it depends on what you run.
Sorry, I think I got a little long-winded on this reply...