You're probably not going notice a whole lot of different. If you want make Windows XP load faster look in to tweaking what runs a start up and disabling unneeded services. You can find some idea
here(PDF document) you can find a list of services and recommended settings
here. I recommend you go with the columb labeled "Safe". How much memory are you running? If it's below 512MB definitly upgrade, if it's 512MB you might consider it.
As far as CPUs go. Personally, given the choice I to would go with an AMD processor over a P4, since comparable AMD processors tend to win over the P4 in the benchmarks (As holt mentioned). If you want an Intel processor I'd look at their Core Duos.
I'd save your money for a more substantial upgrade.