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I came across a good deal on a 940 and jumped on it, but then noticed the proc had been discontinued. Is there any difference with that chip and the new 920/950 chips besides clock speed?
The big difference is that a 940 is an early C0 stepping while a newer 920 or 950 is a D0 stepping. Tom's Hardware just did a comparison the other day of these two steppings. D0 is generally a little easier to overclock but there are good and bad CPUs in each stepping.
All Core i7-940 chips have SLBCK stamped on top of them and on the box and are C0 stepping. Intel didn't make any D0 stepping i7-940 CPUs. When it was time for an update they discontinued the 940 and introduced the i7-950 to replace it. Not a big deal. They are both great chips.
The average Core i7 D0 stepping CPU might overclock higher with less core voltage than the average C0 but don't let that discourage you. I've seen some water cooled 940 chips run nicely at 4.6 GHz.
The limitation with most i7 setups is the Bclock, so the higher multiplier of the 940 should give you a bit more overclocking headroom than you'd get with a 920, possibly even compared to a D0 chip. I'd say it was a good buy (unless you have a Microcenter around in which case you could have gotten a 920 for $100 less).