Im faced with the same thing. Im going from a XP 2400 to a 2500 Barton. i know I dont have to rebuild but it's a windows box that has the same install from 8 months ago. Its amazing the speed increases when you install a fresh MS OS. So for me I will but for you, if its running good now no need to redo it.
If you haven't been keeping your system running clean and efficiently, now may be a good time to consider reinstalling the OS. Otherwise, if you're just swapping CPUs you probably won't have any problems.
Like the guy above me said, if you haven't formatted in a long time, it may be worth the hassle so you reap the full benefit of your new CPU. If everything has been doing well, you shouldn't need a reformat.