Well I can give you a break down of which sockets support which CPU's, but you need to give us some more information on what your build is going to be doing. If you doing basic computer tasks, i.e. surfing the web, downloading music, watching videos, encoding some movies, etc., than you won't need to spend $400 on a CPU/mobo. If your going to be doing some heavy gaming on a fairly big monitor, than getting a $200 CPU and a $100-150 mobo, might make more sense.
Intel:
s775 - Pentium 4's, P4 Duo's, C2D's, C2Q's, & C2 Etreme CPU's
s1366 - Currently the latest chipset supporting only the i7 CPU's
AMD:
s939 - Only s939 Athlon single and dual core CPU's, Semprons too (AMD is no longer making them)
AM2 - Supporting AM2 socketed Athlon single/Dual core CPU's, Semprons, & depending on the mobo they also support Phenom I CPU's (only the first generation Phenom's)
AM2/AM2+ - This is the latest out, which has been out for quite a bit. These support all AM2 chips and will support the Phenom I CPU's and some of the Phenom II CPU's, depending on which mobo you go with.
As you can see there is a lot of variables in what choices to make. If we know your total budget for all of the parts you want and what your purpose is for the build, we can help to minimize your options for you. Right now I'd recommend s775 based mobo's for a budget Intel build. I'd also recommend an AM2/AM2+ for just about any AMD build.
What is your total budget and your purpose of the build??