The others have said it pretty well.
When the graphics card isn't the bottleneck, it tests to see where the CPU bottleneck would be.
Think of Oblivion, where it's got tons of AI in it, obviously that's CPU-driven, so when you have a faster CPU (and the graphics card isn't slowing down framerates from a pretty lack of jagged edges), the performance will be increased.
Conroe will be nice, though it won't show a tremendous increase in framerates with games like Oblivion or FEAR in high resolutions... It may show a little bit, but if the graphics card is the bottleneck (such as if you're running on an X1600/7600GT or lower), then until your graphics card doesn't hold your system down, the CPU won't make much of a difference.