Difference between 125W and 140W in Phenom

Phenom II X4 965 140W and Phenom II 965 125W perform the same. The difference is that the 140W version is on the C2 stepping, and the 125W version is on the C3 stepping. The C3 stepping was designed to improve energy efficiency, so the stock voltage is slightly lower, and there for power consumption dropped a little. C3 is also known to overclock slightly better due to this too.

Okay .. and for the second part of the question .. which is

Is a 955 better than a 965? ( Think I read it somewhere)

A 955 is not better than a 965, at stock speeds. One could argue that it is a better value, since it's still unlocked and only 200MHz slower, which if you oc (the main purpose in getting an unlocked cpu) can often be made up.