In a word, no. They have identical performance to their desktop equivalents.
The Xeon 5000 series are required if you want dual CPUs (for up to 8 cores), and have a different physical socket (LGA771 vs LGA775) so they only fit in server/workstation motherboards.
45nm chips are faster than 65nm, more cache is obviously better, and then it just comes down to Mhz.
Easiest way to tell whether a chip is 45nm/65nm is to look at the amount of cache: 2/4/8MB = 65nm and 3/6/12 = 45nm.
45nm desktop models with max cache are E8xxx for dual cores and Q9xxx for quads. "Extreme" models like the QX9650 / QX6850 also have an unlocked multiplier, so you can overclock them without stressing the rest of your system.
Basically if you can just get either a dual core with 6MB cache, or a quad with 12MB. That way you're guaranteed the fastest chip clock for clock.