In terms of performance, there is little difference between server and desktop chips. In fact, since desktop chips are less concerned about stability, they often have faster features (ex. P4's faster bus and memory support in many cases, A64's non-registered memory). The price premium for Opteron/Xeon is mainly for stability and scalability. They usually used registered memory which is more reliable, although slower and more expensive, and they are the only chips that can be run in multi-CPU environments (which are a rip-off unless you really NEED the power for some important 24/7 task, doubling cost for like 20% performance boost). Anyways, if you want to play games, do media encoding, go online, and do other standard PC tasks, then there is no reason to go for a server chip. Plus, using non-registered RAM makes OCing easier.
I recommend an A64 3000+, 3200+, or 3500+, depending on your budget. They overclock great and perform very well overall, tearing comparable P4s apart in gaming while being competitive in multimedia apps.