Durons: pretty cool, all of 'em.
Thunderbirds: HOT HOT HOT. Eclipsed by P4s around the 2.8GHz mark.
Athlon XPs (all): cooler than P4s.
Palominos: hottest Athlon XPs (Bartons can match or beat them at full bore, though)
TBreds: cooler, but high idle.
Bartons: high idle temps, but not as bad as previous ones, and pretty cools load temps, considering the speeds.
Northwood P4s and Athlon XPs are, however, very close. The old Thunderbird Athlons got them the bad rep, but it has been dealt with for a long time. P4s w/ HT and the new Prescotts can get extremely hot compared to any Athlon or Athlon64.
If your room is getting hot from it...get some circulation. Between the CPU and video card, computers get hot. Wattage used corresponds almost directly into heat. That heat is dissipated into the air. Any modern PC with some computational strength is going to use a fair bit of energy, and convert much of it to heat.
Now, if they would finally get desktop Pentium-Ms, then the situation would change quote a bit--at full load, you'd have 1/3 or 1/4, maybe even 1/5 for the Prescott 3.4GHz, CPU power use during load.