You would see an increase in performance with either upgrade. Most games, depending on what you're playing at what resolution, would see a bigger jump in performance with the 5850 upgrade. It has extra power and extra VRAM, so you would at the very least be able to increase IQ and have the same or better performance.
With a CPU upgrade you are looking at about a potential 20-25% increase in gaming performance, so if you are hitting a CPU wall now then you could see up to 20-25% increase. If you're not hitting a CPU wall now then you will see a smaller or no gain. Meanwhile the 5850 approaches being twice as fast as the 4850 - think of it as having two 4850s in crossfire - and it is more faster at higher resolutions than lower resolutions. So as you can see there is a greater potential for the video card to give you a bigger performance gain than the processor.
It's hard to give you a clear cut answer. It really depends on what games you're playing.
Perhaps you should be planning on when to upgrade everything. Set out a timetable, because Sandy Bridge and Bulldozer will be arriving next year and they will be excellent upgrade paths for you - providing a substantial boost in performance much more than a Phenom 940 would.
Or if you're willing to spend up to $220 right now you could get the Phenom 940, or perhaps the X3 705, 710, 720, or 740, along with a video card upgrade like the GTS 450, HD 5770, GTX 460, or HD 6850.