Intel:
Pentium, Celeron, core etc are all names given to different CPU families. The performance associated with those names tend to improve with each new version of the each family.
1155, 2011 etc are Intel Socket names. They are compatable with different generations of different families of CPU's the last two generations of i series CPU's work in the 1155 socket. I think the first generation use different socket.
AMD: Phenom, FX etc are examples of AMD CPU family names.
AM3+, AM3, AM2 etc are AMD sockets.
Different Socets work with different families of CPU, however AMD does a decent job of providing some "overlap". If you have an AM2+ board it will probably be compatible with both AM2 CPU's and the next generation after, with a simple BIOS update. (That's the + part)