I was thinking about building a new system around a 3500+ as well, but I opted for the 3400+. Between the CPU and the motherboard you will be spending about 200 dollars more for the 3500+. To me, it's not worth it for dual channel memory and a slight speed increase. The other deciding factor in your decision should be if you are planning to upgrade the system any time soon and if, when you upgrade, you are willing to buy a new mobo along with a new processor.
Since the 3500+ is on socket 939, you won't have to upgrade your mobo if you are upgrading a year or two down the road. Socket 939 is just getting started and will be around for a while. The 3400+ is on socket 754, which is being phased out. If you want to upgrade in a year or two, you will most likely have to buy a new motherboard, unless you want to get the 3700+.
Personally, I went with the 3400+ (well, actually I'm going with the 3200+, since it is a better performance/price ratio and the CPU won't matter all that much for the games that I am planning to play) because when I want to upgrade I will want a new motherboard that supports DDR2 and PCI-E anyway. So even if I went with the 3500+ I would still have to upgrade my motherboard later on. If you don't need/want the new technologies that will be available when you are upgrading, though, you might want to go with the 3500+ for a better upgrade path.
Hope this helps,
