Ok, settle down, class is now about to begin....
First things first... You can't replace an Intel chip with and AMD anymore. After the departure from the socket 7 architecture both Intel and AMD moved into proprietary slot cartridges. Later they realized how stupid that was and moved back to socket format. Intel uses the socket 478 standard for the P4 while AMD uses whats known as socket A for its Athlon line. These two are not compatible in socket design or board design.
Ok, now onto the next lesson. If you want to upgrade to an Athlon, you need to decide which speed you want. The newest revision of the Athlon is based of the "Barton" core and carries 512 K on die. These debuted at speads rated as 2400 + (I believe, can't remember off the top of my head.) Before these Athlons were based of the "Thoroughbred" core which carried 256K on die. The T-Breds are set into two categories based on the core design, revision A and B. The B revision is the newer, duh, and is based off the .13 micron manufacturing process.
Now onto how AMD names its cpu's. Since AMD uses a 10 stage pipeline (as oppoesed to Intel's 20) they can't come close to matching the pure core speed of P4's. To present themselves as being competive, AMD broke from standard naming rules and decided to name their chips in respect to how they compare to a P4 (they claim its actually based on older Athlons but whatever....

). This means that an Athlon running on the Barton core with the 2800 + designation will run as past as a 2.8Ghz p4. The actual clock speed however is 2Ghz. This comparison is due to the pipeline lengths (I won't go into detail unless you really want to know). Now a problem that exists in the market is that AMD also has a 2800 + based off the T-Bred B core. This runs at 2.25Ghz.
Basically, in a long winded answer to your question, you would definitely need a new mainboard if switching from a P3 (slot 1) to and Athlon (socket A). My suggestion, depening on your budget would be to get an Asus or Epox board based on the nVidia nForce 2 chipset. Then pair that up with a 2400+ T-Bred B and you have a nice speedy system with lots of overclockability.
Btw, if upgrading to an nForce 2 board with an Athlon XP you would need to get some DDR ram, preferably PC2700 C2. Crucial is solid and cheap.
Any more questions?