You've pretty much listed them in order of performance.
Celeron, Athlon, Pentium.
(I'm assuming you mean the latest out of each of those lines)
It all depends on your budget. You don't want to skimp on peripherals like drives, nor do you want to skimp on sound cards/video cards/ram just to get a faster processor, because the downfalls of these exceed the benefits of a faster processor.
Celeron is good for really low budgets. Might also want to check out the Duron for a performance edge.
Athlon is good for medium end budgets - in my opinion, the best bang for your buck at the moment.
Pentium 4s, however, perform the best, and would be the best one to go for if money is not a problem.
Might want to check out
www.tomshardware.com - they used to be slightly biased towards Intel, but I think they are being more objective lately.
Good luck
