PC World Benchmarks for gaming and other graphic related uses put the AMD chips ahead of Intel for speed and other related points, on XP and Media Centre OS, and using add-on graphics cards (not on-board graphics of Mobo).
Of course the other challenge is that the two Goliaths like to control most of the sandbox real estate for themselves to play in. MS and Intel have always had a "close" relationship. Not surprising that when the testing of AMD Dual Core vs. Intel Dual Core with Vista OS - Intel comes out slightly ahead.
As has been pointed out - it has a lot more to do with than just speed. If you do not understand the differences in Mobo architecture for the chips, and what you will need for graphics acceleration, RAM, cooling, etc., etc., buy one off the shelf, or you will spend more time and money just getting what ever you hacked together to work at all. There are lots of great off the shelf gaming machines out there, but you will have to increase your budget significantly for top of the line - even if you build your own. Build your own - figure $2,500 to $3,000 including decent monitor etc. Off of the shelf figure on $3,500 to $5,000. Again - this would be for a top-of-the-line Gaming Machine. A basic DIY office machine can be easily built for under $500 these days.
Just my 2 bytes for you.