Some games will provide helpful information to let you know what aspects use the CPU most.
For example, when you go to the configuration menu in Starcraft 2, you'll see a bunch of different settings like whether to use basic or ultra shadows etc. When you hover over the setting, Starcraft 2 will pop-up a little message saying something like "This feature relies on your CPU" or "this feature relies on your video card". So, you can determine what settings to bump up or bump down if you know you have a strong or weak CPU.
For my computer running Starcraft 2, all my video-dependent settings were maxed out to Ultra, but my CPU settings were reduced to high or medium.
That's helpful to know because if I really value those settings, I can upgrade my CPU. But I know that upgrading my video card won't get me any more benefit, because my video card is able to max everything out. A faster video card won't bring me any more performance, but maybe if I get a faster CPU and a huge 1600p monitor, then maybe I could take advantage of a faster video card. So in my case, a new CPU could help me out.