Well as lowriderflow said, neither.
The 940 is not a terrible CPU, but it is AM2+ and since your building now, you might as well future-proof. Also the 965, just isn't worth it, you might as well get the i5-750 or the 1055T. The 955 is basically in between everything and since the 955 is actually AM3 there is DDR3 support, it has the newest stepping (C3), and it is the best value.
However, the L3 cache also hardly matters :P It'll help a tiny bit, but in-gaming it's hardly noticable. http://www.tomshardware.com/reviews/athlon-l3-cache,2416-9.html
As for the CPU choice, although the 955 is the best choice of the AMD line of Phenoms. What is your primary use of this computer? And are you going to be playing on graphically intensive games, and are you going to be running multi-threaded apps -ALOT- Then at this point we could consider a CPU that is an even better deal.