Package:
Knowing the correct processor package is vital if you are looking to upgrade processors or looking for a motherboard to suit your new purchase.
The packages used for Pentium 4 processors in chronological order are:
Socket 423, Socket 478, Socket 775
Athlon 64s use a Socket 939 package, except for very new models which use Socket AM2
Athlon XPs use a Socket A package
The easiest way to determine the package of a CPU which is already installed is to use a diagnostic tool such as CPU-Z (http://www.cpuid.com/cpuz.php), which displays it in the "Package" field. This will tell you which particular model of CPU you are looking for.
Speed:
One of the most common misconceptions is that higher clock speed means faster performance. This is not the case. A 2400 MHz Pentium M processor for example is much faster than a 2800 MHz Pentium 4. For this reason, AMD's processors use a "power rating" system. A 3800+ Athlon 64 indicates it is approximately as fast as a Pentium 4 processor running at 3800 MHz, although the Athlon is running at a lower clock speed.
If you are comparing two processors of the same model however, faster clock speed does generally mean better performance. For example, a 2400 MHz Pentium 4 is slower than a 2600 MHz Pentium 4. There is no point buying a top of the line processor to check your email, so you should make your speed choice based on your budget and intended use. Look at benchmarks if necessary as discussed below.
Brand/Model:
The two major CPU manufacturers are AMD and Intel, and people often ask which brand they should go with. Traditionally gamers have chosen AMD as they typically offer better game performance than equivalent model Intel processors, and people wanting to perform video editing and encoding would choose an Intel. Major changes in the performance of CPUs from both companies have meant this is no longer necessarily the case.
The best way to choose a brand is to look at benchmarks comparing different model processors' performance at the specific task you wish to perform. For example, someone wanting to perform mainly video editing tasks should be looking for benchmarks using video editing software. There is no point looking at gaming benchmarks if you are looking for a CPU for video editing.


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