Well, more than a full GHz to start with (2 GHz vs 3.16 GHz) and way more than a GHz once they are overclocked (around 3.0-3.2 GHz vs 3.8-4.0+ GHz). Besides that around 6% performance improvement perclock by the slightly improved architecture on the 45 nm chip.
The E8500 is clearly better.
If it'S cheap, sure grab it. But don't spend to much. It's still an older platform, and even if I still like the LGA775 platform, its basically obsolete nowadays. For gaming there are cheaper and more efficient chips and for multi media/HTPC/low performance office/web browsing aswell.