One thing to remember in the PC world is that the CPU doesn't change how you'll see things, it's all based on your video card. An Nvidia card will look the same on a P4 or an Athlon, but will look different than an ATI card on either processor type.
Unfortunately there are few programs out there that are really cross-platform. Damage did a report a while back of some PC platform Photoshop vs a (I think) G3 Photoshop, and showed that in only two filters was the G3 faster. The rest of the time the PC platform spanked it handily. You may want to look through the article archives here and see if you can dig it up.
On the whole, I would expect the Athlon to give you perfectly good performance on anything you're planning to do. Make sure not to pair it with a really underpowered video card, though; that can be at least as big a factor on 3d performance, if not more, than the processor.
The biggest problem with XP as opposed to 2000 is that there are still a lot of drivers out there that haven't been pushed forward. Since you won't have any legacy PC hardware coming into this, though, that shouldn't be an issue.
What all does the Compaq come with? $1500 seems like it must be a pretty darn nice system (although I haven't bought a monitor in ages so if that's included it sounds reasonable
. Just remember that the CPU is not necessarily the most important component, and many big system manufacturers shove very underpowered components into a system that has a big CPU just so it sells based on the CPU number.