Windows will set up the CPU affinity correctly. Don't mess with that.
In my experience the performance gain is nothing short of amazing. I went from a P4 @ 2.8GHz to a Core 2 Duo @ 1.86GHz and things run much smoother, including DOSBox. This isn't just because of the dual core design (although that is great, of course), but also because the design itself is much more efficient. I cannot recommend a Core 2 Duo (or Quad) CPU enough.

i meant as in (and i thought this was obvious) set one program to one core and the other to the other core, thus allowing both to run independent of each other, because im sure there are games and/or cd-burning programs that are multi threaded and would utilize both CPU's thus making it impossible to multitask efficiently still.

I know what you meant. And it's a terrible idea (I can't even begin to say how terrible). Causes lots and lots of problems (exactly the ones you want to avoid). Windows is much, much, much better at managing its multitasking than you are.

what problems could arise? if anything it would solve problems, games that wont run unless set to one core = unreal tournament 2004, need for speed most wanted, serious sam II, etc.

most programs are still developed for a single thread anyways so it wouldnt affect them in a negative way to set them to just one core... multi threaded programs mostly also support running in a single core environment.

The performance gains are based on the fact that the almost any Core 2 Duo is much faster than any Pentium IV, not that single threaded games can take advantage of dual cores.

Process affinity is inherited. This also means that it is applied to any DLLs that are loaded etc. Many things which can be easily split up won't. There are certain deadlocks that occur only in single-core mode (example from a buggy from program: a process sets its priority to "high", calls an asynchronous function in one of its own DLLs and waits for the result. Unfortunately, the DLL has set its own priority to "idle". On a single core, the "idle" priority thread is always preempted by the "high" priority thread. On a multi-core processor, the other core has some idle time and finishes the task and all is well). If you force the processor affinity, then you seriously impair Windows' ability to optimise the usage of both cores.

The games you mention run just fine without their processor affinity set, never had any trouble with them [although I don't have Serious Sam II]. There is a bug in certain nvidia drivers that may cause problems, but I haven't come across it. In short, don't mess with it unless you have problems. Personally, I've never had any such problems and never needed to set it at all.

BTW, I've been doing a DivX encode, playing a game and burning 2 DVD's (2 burners) at once without any performance trouble or even coming near the task manager.

thank you Kippesoep that is a helpful explanation and i can see why it is bad now. i already am aware of that Great Hierophant but i was thinking of offloading everything onto one core and run the game on the other thus optimizing performance, but it now seems that that is a bad thing to do.

so going from a 3ghz HT (intel) cpu to a 3ghz dual core (intel) cpu would yield massive improvements in the field of multitasking?

Yes, massive is the right word.

just to clarify, im talking about going to a dual core cpu and not a core 2 duo. (altho i am considering going to a core 2 duo)

Other Dual Core CPUs may also be good, but the Core 2 Duo gives the most bang for the buck. It's extremely fast, power efficient and comparatively cheap. It's the best chip Intel have produced in years. The Core Duo itself would also be good, but it lacks the 64bit instruction set. Just don't go for the Pentium D. It's basically a dual core Pentium 4, which is hardly any better than your existing Pentium 4 except for multi-tasking performance.

I can't really comment on the AMD Athlon / Turion 64 X2, although I will say I'm not impressed with the performance of the regular Turion 64.

i couldn't care less about 64bit support.

is there bench marks available anywhere for standard pentium 4's ~3ghz and equivalent core 2 duo's?

and do all core 2 duo's support hardware virtualization?

They all support virtualisation. For benchmarks, this Slashdot article links to a number of them.

very helpful, the E6600 looks pretty awesome 😁

edit: but for half the price im considering a dual core 3.6ghz intel cpu (2x2mb cache).

what does the virtualization support in the CPU's do? is it just a special instruction set? and what common programes use it? (i know of virtual pc 2007 but thats all =\ )

I have an E6300 and that is already pretty awesome. Bear in mind that a Core/Core 2 processor is much faster than a Netburst processor (Pentium 4) even at lower clockspeeds (i.e. a single core of my 1.86GHz Core 2 Duo is much faster than the P4 2.8GHz I had previously).

The virtualisation is used mostly by stuff like Virtual PC (and VMWare etc). It is likely that future operating systems will also make heavy use of it. Right now, it's not too important.