Pentium 4M is a Pentium 4 with power-saving features, like dynamically changing clock-speed to conserve energy. You pay more for this feature; otherwise, the two should be the same. P4M is still rather power hungry compared to a P3M, though, obviously, it comes in much faster speeds.
The Pentium M is a different beast: much more energy-efficient, with a huge 1MB L2 cache, and faster per clock than a P4(M). I think a 1.4GHz PM is roughly equal to a 2.4GHz P4(M) in terms of speed, but you can read Anandtech's Pentium M laptop reviews for more info.
Generally the "M" after a Pentium name means mobile, thus more energy-efficient. For the P3M and P4M, that meant merely being able to lower clock speeds. The Pentium M, on the other hand, was designed entirely around energy efficiency--it's a much greater departure from the usual Pentium architecture than the previous "M" Pentiums.
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