I think it depends on the resolution you play at and the GPU, if you have a G80 or something, then the CPU will probably limit you if the conroe isn't @ in the high 2GHZ (at the LEAST). 3GHZ+ is far better.
If you are still using an X1900 or something, then A64's won't bottleneck you as much, especially on Supreme Commander.
Having said all that, I have noticed a difference in terms of FPS, but I can't really say that much, cause my old system was an A64 with AGP, so my upgrade route went:
A64 + X800XT
Conroe + 6200 Turbo Cache and wait for the G80 320MB
Conroe @ 3300MHZ + G80
Either way though, conroe is "far faster" in PC terms. I could be wrong on this, but I think it would be about the same jump as an Athlon XP to a A64 based setup.
"far faster" is very much user defined anyways, I mean, to some people the G80 is an completely massive improvement that stomps on the X1900's and G70's, to others its simply "faster".