Well, since very few replies here, I decided to do the hard work myself. After some thorough analysis and calculations, here is what I have found:
At the very worst, clock for clock, thread per thread, Sandy Bridge outperforms Dothan by around 45%. At the very best, clock for clock and thread per thread, Sandy Bridge outperforms Dothan by around 90% or more. So roughly speaking, on average, clock for clock and thread per thread Sandy Bridge outperforms Dothan by around 67% (or more). On average means a mixture of regular business and productivity apps, multitasking, browsing, media performance, and gaming.
Now this is completely excluding clock speed differences, the fact that Sandy Bridge has Hyper-Threading, the fact that Sandy Bridge has a dedicated media processor for encoding/decoding media (in most configurations), and the fact that Dothan is single core while Sandy Bridge is mainly quad core.
In total performance, Sandy Bridge obviously outperforms Dothan by a factor of several hundred percent.
My numbers are not exact, but I think a fairly good representation.
To me the numbers are impressive overall. Even more impressive is the fact that each Sandy Bridge core is incredibly more power efficient compared to a single Dothan core, clock for clock. Much of that is due to a more advanced process, but much of that is also due to architectural advancements.
I didn't bother yet making the comparison to Coppermine, but the clock for clock performance difference between Coppermine and Dothan is not very big.