P4s are faster in clock speed, and have a greatly faster frontside Bus speed. So it would be worth it if you have that kind of money.
Brett, the Celeron is a budget chip, about the equivelant of an AMD Duron. The P4 competes with the AMD Athlon chip.
With a P2 system, to upgrade to P4 you need:
New video card (PCI to AGP)
New power supply (which would come with the case)
You'd just be better off buying a loaded HP or other PC for $600 from any major retailer. CPUs are so fast nowadays, a few hundred Mhz goes unnoticed.