My i3 540 @ 4.0 kills SC2 and WoW when paired with a GTX 460 1GB at 1920x1080. With that said, I don't think you can go wrong with either processor, since the games you've listed are GPU intensive, save WoW...which suffers from the worst coding of all time.
True, but WoW will run on a toaster.
Anyway, will you be overclocking? Because the i3 should have more headroom. The 940s top out around 3.6, but i think the i3s normally go to about 4.2. Overall, I think that they're pretty close, with the i3 having better IPC and more headroom it gets the nod in older games, and games like SC2, which is only dual threaded. The 940 gets the nod in games that can actually use 4 cores (Crysis, WoW) because even though the i3 is faster, hyperthreading just isn't as good as having more cores.
I think the deciding factor is if you have any old components that you can re-use. I bought a 940 because it will slot right into my rig. Do you have RAM? a motherboard?