Will an AMD Athlon X2 6400+ Bottleneck a GTX 260?

No...the 6400 wont bottleneck the 260...You may only feel a slight slow down in processor intensive games such as the GTA IV(Actually all the processors have tough time with that game)
And yes...you are right about the phenom 9600...

Wait for sometime...Don'T go for the 940 now...AMD will be launching the P II 955 stocked at 3.2GHz in April or May...Till that you will be fine with the 6400...then upgrade to that...

What kind of mobo do you have?

You can get a good combo deal from Newegg on Phenom II 940
You'll be amazed from the performance difference when you upgrade to X4 940
I have it OCed to 3.515.GHZ on regular air cooling with stock voltage and I love it.

Just look at som e performance benchmarks on the web from 6400 to x4 940 and you'll see the difference.

Waiting for the P II 955 stocked at 3.2GHz doesnt make sense unless they lower the prices on the X4 940, since X4 940 is a great Overclocker and will easily give you more than stock 3GHz clock.

Cheers

Then just save up some money and switch up to the new Phenom II CPUs when you can, they use less power they support more instructions than the old Phenoms, and they run much cooler.

I got an awesome CPU /Mobo combo deal from Newegg. You should keep an eye on that website. Sometimes they have really good deals that are worth considering.

Cheers

Depends on the games you play. You may have to turn down some of the CPU intensive settings in some of your games though. It's just going to depend on the game. You can probably get a bit more out of your CPU by overclocking it to 3.4-3.5, assuming you have a cooler to deal with the heat of course. Yeah the 9600 would be a bit slower than your 6400 in most games, of course it just depends on the game.