The Celeron 2.4 when it came out was a real spiffy gamers cpu that could be overclocked to 3.1 mh It has a high L2 cache of 256 and a fsb of 533--that use to be a lot of kick for a Celeron.
Now the NEW P4 2.8 has a fsb of 800 and an L2 cache of 1 meg. Now when they first came out, maybe the front side bus was 533 and the L2 was 512.
My wife is a neat freak and I like to agravate her by saving the Pentium 4 boxes that I use in new builds.

I've got them stacked on one wall. Its amazing to look at the same CPU size and see the cache vary from 256 to 512 to 1meg. Celerons same thing 128.256,512 L2 cache.
The issue you raise, "It doesn't seem much faster," isn't really raised much, IMHO, I think that a lot of people don't say much, only because of the fear that they may appear stupid for saying so.
I think what you need is a better video card. Your system seems like a good one.
Hope this helps