For almost all applications, the Phenom II will outperform. Not only is it a more current level of technology but it is a Quad core. The 940 might be the fastest thing around at the moment. Hard to say since things change weekly in this business.
Well one thing to try and see is the long term. The P2 can overclock on par with the E8400/500.
Few buddies have gotten theirs to 3.8ghz-4.0ghz on air. Which is as good as a the E8400 will overclock to. Also don't buy the E8500...not worth the extra cash. The E8400 is the same chip underclocked. You can easily overclock to 3.1ghz if you wanted too.
Comes down to overclocking + luck in the end. I would choose the Phenom 2 over E8400 but thats only because it can overclock just as well and I believe their will be quad gaming this year.