A new stepping can mean one or more of the following (but sometimes none):
- Higher maximum clock speed.
- More energy efficient.
- Some new instructions (like SSE...).
- Bug fixes (although rare in processors, they do happen).
The change will not be massive as if it was they would give it a whole new name, but can still be worth waiting if it's only a matter of a few weeks or so. But since new steppings come out all the time it's not worth waiting like 6 months because another new stepping will be anounced and you'll wait another 6 months and so on, and never actually ever get around to buying a new CPU.