I bought a 4780 from PCTorque a couple years ago. P4 3.2 GHz HT processor, 1gb ram, ati 9600 graphics, etc, etc, etc.
I just bought a 5720. Two reasons I didn't go with a desktop processor: heat and performance.
Heat: The heat sucks. I am convinced that the heat of the desktop processor (and maybe the 9600 graphics) took their toll on the machine over time. Artifacts galore and the machine would just spontaneously shut down if I didn't have an external fan blowing on it. I kept the machine clean, and this didn't happen early on, it just got worse and worse. So, if you get a desktop processor, be prepared to get a new machine in a couple years anyway.
Performance: Don't get hung up on numbers. My 2.26 processor FAR outperforms the 3.2 GHz P4 HT is at least on par and in some cases, significantly outperforms that processor. It won't be as fast at video or audio rendering - that's where HT and dual cores really shine. And there are a couple games that it will not perform as well as the desktop processor. And, yes, the top of the line AMD is better than any p4 (at least at gaming).
But, I have to tell you, the Pentium M 2.26 performs better than a 3.2 GHz processor in most tasks and performs as well as a 3.8 GHz processor in some tasks. Oh yeah, and i can overclock the processor natively from within the bios to 2.60ghz (currently running at 2.4ghz). In the vast majority of games, the video card is what matters, not the processor. I can run world of warcraft at the highest quality now, where I had to turn it down to the ABSOLUTE lowest with my 3.2ghz processor. It's all about the video system.
It's up to you. I bought a desktop processor and I never believed that a pentium m was a good gaming processor. Intel doesnt really want people to know that either because they want to sell more P4s. But read the reviews on the internet. People are even putting the pentium M in desktop machines now because it is so good at gaming.