Depends on your budget. If your budget is very limited, you'd be better off getting the FX 6300, or even an FX 8320, as you should be able to keep your same motherboard (as well as avoiding having to reinstall your Windows OS).
If you have enough budget, you could maybe consider switching. However, while the per-core performance might be slightly higher on the Pentium, it's a dual-core chip, & near-term games are heading towards using more of the cores on a CPU; going from a quad-core to a dual-core, even if each core has better performance, sounds too much like a downgrade to me. If you're really wanting to switch to Intel, I would recommend at least some sort of core i3, or preferably an i5...but only if you have the budget for it.