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Duron = 1.8GHz max cpu speed (socket A, 128/64kb cache, 100FSB) almost discontinued
Sempron = 2.0GHz (3100+) max cpu speed (socket 754, 939?, A, 128/256kb cache, 133/166/200FSB) duron replacement
Celeron = 3.0 max cpu speed (socket 478(and a long history with 370 and slot) 256kb cache, 533FSB) little brother of the pentium
I've used one of each at different times, they can all mostly handle playing games well and most of the day to day stuff people do. The sempron is at a great price point, but you might as well go athlon64 in that range. There are mobile versions of these chips that usually perform better also. The sempron will run much faster than the celeron supposedly but i think with enough RAM and with other high speed compoenents it could seem as fast.
google is a great place to start asking questions like these

intel, amd and anandtech websites too