AMD's numbers don't refer to the actual Mhz of th eprocessor, but are in fact an attempt to compare to the equivalent Intel. i.e. an Athlon 3000+ should be roughly equal to a Pentium 4 3.0Ghz. There is a comparison chart on the Toms Hardware site.
In terms of gaming, I'd go with an Athlon. Bang for buck, they tend to be slightly cheaper, PLUS the Athlons use DDR ram, which is cheaper than the DDR2 used by Pentiums.
Also, Athlons produce much less heat than a Pentium. This might not seem a big deal, but bear in mind that the cooler a chip is, the less cooling you need to apply. Cooling = noise. Basically you can make a quieter system with an Athlon. Also, the lower power consumption means cheaper electricity bills, but I can't be bothered to work out what the saving would be.
But I am a self-confessed AMD fanboy, so you may want to get a second opinion. Generally, though, Intel only tend to come out top for video encoding. Athlons are the choice chip for a gamer.
The XXXX+ speed has not been relevant for a good while. The only real way to compare is to use the CPU charts.
The XXXX+ speed comparison only really related when Intel had their big clock speed push, which is now over. Cache, dual or single core and efficiency are now all more important than raw clock speed now.
Simple answer: A P4 3.6 will place most games pretty well, but if you ranked CPU's by gaming performance, all P4 cpu's will be well below K8 (amd) processor. The EE intels barely surpase the lowest athlons for gaming, but then again, most games are more GPU limted than CPU limited. Moral of story is, if your computer plays games like you want it to, don't worry about it.