First, let's deal with the controversy. Each Pentium III has a unique serial number embedded in it. That serial number can be read by software. The intent was to enable more trust over the Internet because you could identify the user. Similarly, large corporations could more easily track their computer assets.
On the surface, the Pentium III is no more than a Pentium II, clocked a little faster. That's because there's very little software available to take advantage of the PIII's new features. These features are collectively called Streaming SIMD Extensions. Ya gotta love those flashy marketing types at Intel. Cold, dead fish on rice, anyone?
SSE is divided into two main parts. The first is the single-point SIMD (single instruction, multiple data). When software - games - arrive that can take advantage of floating-point SIMD instructions, we should see better 3D performance. Floating-point SIMD accelerates the kind of matrix math that most 3D game programmers use in their transform and lighting engines. Intel is making a software library (the intrinsics) available for easy integration into applications. Like the K6-2's 3Dnow instruction set, games that use the DirectX transform and lighting engine will instantly benefit, as support for SSE (like 3Dnow) is built into DirectX 6.1.
As you would expect from a part that runs at 500MHz, performance is very good, indeed. However, if you already have a 400MHz Pentium II or better, it's probably not worth upgrading now - wait for faster versions. If you have a Pentium 266 or 300, it might be worth considering - but you also might just wait for the prices to drop. But if you're in the market for new systems, 500MHz Pentium III systems are going for the same price the PII/450s were selling for only a couple of months ago. So, if you're not concerned about the processor serial number, a spanking new Pentium III may be just the ticket to remove those performance woes you've been having in Unreal.