Opteron = High-End Enterprise quality AMD64 CPU
1xx = Socket 939
2xx = Socket 940 Dual CPU
8xx = Socket 940 for Quad and 8way CPU configurations
Available in Single and Dual Core supports Dual Channel DDR SDRAM
2xx and 8xx Opterons support NUMA and can each support dedicated Dual Channel DDR SDRAM so the more CPUs you add the more memory bandwidth you have :-D
Athlon = Mainstream AMD64 model
Available in Socket 939 and Single Core or Dual Core Supports Dual Channel DDR SDRAM
Sempron = Entry-level line
Available in Socket 754 available in Single Core Supports Single Channel DDR SDRAM
Best price/performance = nForce4 + AMD64 Socket 939
The Opteron 165 is a Dual Core Socket 939 CPU with a 1.8GHz Core Clock, 2x1MB L2 Cache, 64KB+64KB L1 cache and 1GHz hypertransport in full duplex (1GHz in each direction).
EDIT:
What stepping are you considering and what prefixes are you referring to?
What parts are you planing to use with the Opteron 165? [ mobo, RAM, PSU, HDD, VGA, etc ].