The Pentium MMX CPUs were the first to add such instructions. 3DNow are instruction sets included in AMD's CPUs. All of these instruction sets can certainly be helpful, but they should not be a big concern. You will also want to consider the type of interface. Another thing to consider with CPUs is the micron size of the CPU die.
Smaller sizes result in cooler operation and thus allow for higher clock speeds.
The latest CPUs are .18 micron, with .13 micron CPUs on the way. There are two things to consider here. First of all, the highest speed CPU is usually way overpriced. One or two steps down will get you a CPU that will perform just as well to the human eyes, yet cost much less. That is probably the best strategy.