AMD.
You'll get better (or equal) performance at half the price. I know that sounds too good to be true, but it's one of the few things in this world that isn't. For example... the latest and greatest Athlon XP (2100+) is right on par with the P4 2.4 GHZ. Right now you can get the XP for $209 and the P4 will run ya $520. (Pricewatch.com as of 5/5/02) On top of that, the RAM for the P4 is gonna cost you twice as much. (even though prices for RDRAM have come down a lot, it's still much more expensive than DDR RAM.) So if money is a concern for you, as it is for almost everyone, AMD is the way to go. But keep in mind, you aren't getting garbage products just because you're paying less... the XP still outperforms the P4 in most applications.
As for the compatibility issues, those days are long gone. The AMD issues are few and far between (if any) nowadays... the only thing you might run into is a VIA issue (which is a prominent AMD chipset) and if you wanna avoid any possible problems with that, just get an AMD761 chipset mobo.
WATYF
(P.S. If your heart is set on a Pentium... I wouldn't get a 4 anyway. They run just as hot as AMD's, and require more cooling.... so if you must get a Pentium, I would recommend getting a high end PIII instead of the P4... but the PIII GHZ stops at 1.26, so you're pretty limited there.)