Depends on what you're doing.
The games I play seem to be limited almost 100% by video card. I have to underclock my e7200 before I get a significant measured decrease in FPS. So I only mildly OC my e7200. So I see no reason to spend on an e8xxx.
This is with an HD4850. If you're running a GTX 280 and 2560x resolution you may need more CPU. But I think for the majority of gaming, a mildly overclocked e7200 provides perfect performance. Try not to get too worked up over reviews that typically run reduced video settings in order to force games into CPU limited situations in order to demonstrate the FPS differences. In the real world the performance differences from CPUs are smaller, and rarely are forcing the minimum FPS below the threshold of perceptible performance differences.
If overclocking, it's pretty much just the e7200 and the e8400. e7200 is the same as the rest of the e7xxx line when you overclock, and with a 266MHz FSB default, you don't really need higher multipliers for air, your OC will be limited by heat and voltage before you run into FSB limits.
The e8200 and e8300, last I checked were only like $1 cheaper than the e8400 and with the default 333MHz FSB, you can potentially make use of the higher multiplier on the e8400.
If you look at performance in it's own scale (something not FPS driven where you see an upper limit to performance when performance is above the pixel referesh rate), then you'll see the e8400 perform better at the same clock than an e7200. It will also tend to be binned better so that even if they're both c0, the e8400 will tend to be a better overclocker. Then there's the whole chance you could get an e0 e8400, which is a way better OCer.
So depending on your needs, the e8400 can offer some performance benefit, but I think an e7200 in the 3.2-3.4 GHz range that it will get fairly easily even on the low bin parts is plenty of performance for a real world gamer. If you get a big kick out of the potential for seeing 4.0+ GHz whenever you start up CPU-z, then go for an e8400. But if you're buying for gaming, and want to be practical, an e7200 with a moderate HSF ($30-40) and a mild overclock into the 3.0 - 3.4 GHz range is perfectly adequate for all but the most extreme gamer's needs.