http://anandtech.com/bench/product/1265?vs=1367
Not quite the correct comparison (they only had the i3-4130T, which is lower-power & lower clock frequency). But, as you can see, when it comes to
game performance that particular i3 outperforms the Pentium quite noticeably. The particular i3 you're looking at is not only faster than the 4130T, it's slightly faster per core than the Pentium.
http://cpuboss.com/cpus/Intel-Pentium-G3258-vs-Intel-Core-i3-4150
While CPUBoss gives the win to the Pentium, based on the benchmarks given they're
primarily giving it to the Pentium because of its lower cost; the sole benchmark it wins (Passmark single-core) is eclipsed by the i3's performance (winning Geekbench 32-bit, Geekbench 64-bit & Passmark multi-core). Plus, the i3 can handle DDR3-1600 RAM and has a higher memory bandwidth.
Bottom line, unless you're really going to OC the Pentium -- which means spending money for extra cooling, therefore eating into the price break it gives you -- the i3 would be a better buy.