Unlike the Opteron, the Athlon is not a server CPU. Are you sure that it isn't a standard PC? If it meets your performance requirements, I would go with the Dual Xeon as they should be installed in a real server.
are you getting a motherboard that supports multiple CPU's? and if so the xeon has a pretty low fsb speed, im pretty sure you would be better off with the athlon just because the FSB affects the overall performane of the machine as every peice of data must pass over it. even though the cpu clock is lower the FSB is much more important. the 4400 is pretty cheap too, maybe you should think about buying two of the 4400's and the 4400 has better overclocking capabilities than the xeon im pretty sure. 2.9GHz at 1.35 volts
No, it's a dedi server. They offer these two option for same price.
I will run gameserver using MSSQL. What will have best performance?
Will the server or the bandwidth be the limiting factor? Since you'll use MSSQL, the system having the fastest hard disks should perform best (unless the DB is on a SAN).