Conroe is 4 months away from the beginning of production. And I didn't mean to say Presler as in it was the only option - but rather, it was more of an example that came to mind.
With that said, the 930 is cheaper than the 940 and would overclock good - but with the D920's price being slashed (Either soon or now, I can't remember, but it's priced to be gone. I think that was immediately) it's the cheapest Pentium D9XX for great overclocking potential, even on stock cooling. I have also heard mixed stories about the cheaper Pentium D805 - with it hitting 3.8GHz quite often on air cooling. But only with a 9XX can I say with decent accuracy (We have to understand that not all overclocking is for sure - even the same processor from a batch of good overclockers can be bad - it's nearly to the point of an average, but I've met dual-core Opteron purchasers with good hardware that just couldn't bring it as high as others) that good overclocking is practically guaranteed.
As LukeD mentioned - for less money you can get an Opteron 170 dual-core and with good supporting hardware, reach some very nice overclocked speeds with relative ease on air cooling. For less (On the Intel line-up) you can also get a Presler D920 - so really it's your choice. I've yet to find someone displeased with either purchase - but I personally feel that if you game a lot and manage to overclock the Opteron to 2.8GHz+ - you will be provided with a gaming experience that is hard to beat. Both are likely to require air cooling that is not stock, in order to reach higher speeds - but I have seen 2.9GHz for Opteron on air and upwards of 4.1GHz on a Presler on air as well - with these kinds of potential overclocking gains, it's nearly a matter of personal choice. If money is an issue - go with whichever is cheapest. If it isn't, I think I would be tempted to recommend an Opteron for a gamer - but both would offer an excellent experience overall.
If you can wait for an upgrade, I would ask you to reconsider for Conroe's
market-based launch in 4-5 months - if it provides performance as displayed in it's recent benchmark it will be better than both solutions available to us today. And if you don't decide to get Conroe - current solutions will be taking a price cut at around the same time, which may also broaden your choices where motherboard chipsets, video cards, and other hardware is concerned. If you must upgrade now
though, the previously mentioned alternatives will give you the performance increase you desire at a reasonable price.