For a simple explanation:
Sempron for AMD = Celeron for Intel
They are made for people on a budget and have less L2 cache (onboard CPU memory) and often lower CPU clock speed. Can be dual or single core.
Athlon for AMD = Pentium/Core for Intel
They are the mainstream to high performance CPUs.
Athlon X2 for AMD = Pentium D/Core2Duo for Intel
The mainstream dual-core CPUs. Currently the most popular for Price/Performance.
Phenom for AMD = Core2Quad for Intel
Quad core CPUs. Phenom also comes in a triple-core variant.
Opteron for AMD = Xeon for Intel
Server CPUs, they occupy different slot types from the consumer CPUs, often they aren't much better than their mainstream equivalent.
For a socket 939, you will only need to look at Athlon 64s and Athlon X2s, FXs aren't worth it and if you want to make games run better, a Sempron wouldn't help much thanks to its tiny L2 cache. I would recommend looking at Athlon X2s, single cores are outdated and many things now take advantage of multiple cores.
The names such as Brisbane and Venice are just codenames for the core inside the CPU. They aren't always names of places, there have been Sledgehammer, Clawhammer, Hammer, and Thoroughbred. Though mostly they just use place names. I won't go into specifics but often the CPU maker will revise an older CPU and make it more power and performance efficient. For example: when AMD made the Athlon 64 3000+ core smaller (and as a result, less power hungry), they made a new core since it was different. The Newcastle core was 130nm and they made the Winchester which was 90nm, but the Athlon 64 3000+ was still the name.