Are we talking Athlon XP? And are you talking about a processor upgrade or simply overclocking? When it comes to Athlon XP's, the increase in front side bus speed is much more beneficial than going from, say, 1.7GHz to 2.0GHz.
In fact, I am using a 2400+ - stock settings are 2.0GHz/266MHz FSB. Because it's a t-bred and I'm not into loud annoying heatsink fans, I actually bumped the FSB from 266 to 333 but also lowered the CPU speed from 2.0GHz to 1.83GHz. Basically, it's a 2500+ but with 256K of L2 (instead of 512). The result is performance that has a noticable improvement over the stock settings, but the CPU doesn't get too hot (based on it's specifications that is), in fact it's about the same. Even though I'm OCing the FSB, I lowered the external CPU speed; so it all evens out heatwise, but I still get a performance boost.
If you're overclocking, leave the external CPU speed alone and try to get your FSB up to 333MHz. If you want a new CPU, go for it, but going from 266->333 (or 400 if you don't mind extra heat) is much more beneficial.
If you're using an Athlon 64, I have no idea because I don't own one.