Anandtech did an article on your very question. The findings were very interesting; they found that 4 DIMMs in dual channel configuration is actually faster than 2 DIMMs in dual channel. Here's the article, I encourge you to read it.
In all cases, on both 865 and 875 chipsets, with both single-sided and double-sided DIMMs, four DIMMs is the best performing memory configuration at DDR400(1:1) or higher speed. This may come as a surprise to many of you looking for memory for your 865/875 motherboard. As expected, two DIMMs in dual-channel memory configuration performed better than a single DIMM in all cases. Beyond this, we see that two double-sided DIMMs perform much better than two single-sided DIMMs, but that four single-sided DIMMs perform almost as well as four double-sided DIMMs.
If you plan to run DDR400 as your base memory speed with an 800FSB processor, your best memory performance will clearly be with four matched double-sided DIMMs. Our tests, confirmed by Intel White Papers, show these configurations ranked from fastest to slowest performance on an Intel 875 Canterwood or 865 Springledale chipset motherboard.
Now whether or not these results can be translated to Athlon systems, I do not know. But logic dictates that they would.
It seems that actual bandwidth is higher when you're dealing with smaller sized DIMMs. Even though the processor has to access 4 slots as opposed to 2, it's still faster. I'm guessing the reason for this is latency. Larger sized DIMMs are going to take some type of theoretical hit in latency when it comes to the processor addressing and accessing it.
So, your best bet is to keep the 4x256MB DIMMs unless you planning to go w/ much faster memory in a 2x512MB configuration.