Random thoughts/answers for nJett...
Sempron is available in socket A and 754. Socket A Semprons are just like various Athlon XP in core, speed, price and performance but just with a new name. Socket 754 Semprons are just like various socket 754 Athlon 64, but with less cache and available at lower MHz making them a tiny bit less performance at same MHz than A64 (but higher than socket A) but costing much less (starting at around $60 versus cheapest A64 at $110).
Socket 754 Semprons are available as both 64 bit and 32 bit. There are ones that AMD specifically says are 64 bit. The other ones may still be 64 bit, but aren't guaranteed.
The 130nm Semprons are analogous to Athlon 64 Newcastle cores, the 90nm Palermo D0 revision are analogous to Athlon 64 Winchester cores and the 90nm Palermo E3 and E6 revisions are analogous to Athlon 64 Venice cores.
Athlon 64 come in 512k and 1MB cache versions while socket 754 Sempron come in 128k and 256k cache versions.
There are socket 939 Semprons. You can buy them in one of two ways - on eBay and from buying a name brand system like HP.
There is a performance difference between varying amounts of cache, and there is a performance difference between single and dual channel RAM. That difference is not very much, so at the same MHz the difference between a 128k cache single channel Sempron and a 1MB cache dual channel Athlon 64 will be probably around 10-15% in most things (with a variance of anywhere from 0% to perhaps 30%). Most people get the 256k cache Semprons or the 512k cache Athlon 64, so the difference there would be likely under 10%. What really shows the difference between cache sizes is something that definately runs faster in cache if it fits, such as SuperPi (AFAIK you can set various sizes). For RAM, Sandra is a good one for testing bandwidth. Note that scores in those two benchmarks have little to do with real world day to day usage.
Your choices are:
1) Keep the system the way it is.
2) Keep the system the way it is but get a faster CPU.
3) Replace motherboard and CPU with a small budget, but keep everything else including AGP video card.
4) Replace motherboard and CPU with a medium budget, but keep everything else including AGP video card.
5) Replace motherboard and CPU with a large budget which includes new video card and PSU.
6) Replace the whole system.
Thoughs:
1) Well, since you are asking, must mean you do want to do something so scratch this choice.
5 & 6) Sounds like these would be more money than you want to toss into your computer at this time.
2, 3 & 4) Your most obvious choices. 2 & 3 actually would cost about the same ($100) until you sell off your old parts, and then 3 may actually end up costing less than option 2. However, option 2 is the easiest to do because you just swap the CPU (perhaps with a better HSF) and you're off and running. With 3, you have to do the motherboard swap and then may have to reinstall Windows. 4 is as complicated as 3 to install and will cost more ($200) but you have the option to go to dual core and/or PCI-E (using the ASRock board). Will you need dual core or better graphics between now and your next bigger upgrade cycle? That, only you can answer.
For option 4, the choice of motherboard would be the ASRock 939Dual-whatever. It is the only board on the market that I know of with "true" AGP 8X and PCI-E 16X at the same time. There are other boards with the physical slots but they don't run at full speed nor compatibility. There's been a lot of talk about this board so do a search on it if you are interested.