I am currently using an Intel Xeon E3-1245 @ 3.3Ghz (that I got for free). I know getting an i5-2500k or i5-3570k and OC to 4.3 ~ 4.5GHz would improve performance of games, but does anybody have any idea by how much? Is it so miniscule that it is not worth it?
The server CPU and desktop CPU are designed with two different targets in mind. Server CPU's are meant to handle many tasks simultaneously and efficiently so that multiple users can operate from it with adequate performance. Desktop CPU's are meant to handle a couple of simultaneous tasks quickly so that one user can operate with good performance.
Without getting into CPU architecture, for a person using a desktop for normal desktop operations (word processing, internet browsing, media playback, gaming, etc) a desktop CPU is what you want; however, if you run virtual sessions, have multiple users accessing your computer running terminal services or if you have large databases stored on your computer which are being accessed routinely then you most certainly want a server CPU.
To be honest, the E3 series is Sandy Bridge architecture (like the i5-2500k).
So if your looking to upgrade to a fast Ivy Bridge, or a new Haswell (when they come out) you may have some serious benefits, but just going form an Xeon E3 to a Core i5 of the same CPU architecture is not worth it.
your better off investing in a solid state hard drive, or RAM or a graphics card