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I'm no Linux Ninja or anything, but I do beleive that I386 means that the software is built and optimized for 386 class and up machines, x86 means it runs on the x86 architecture (286,386,486 etc) and x86_64 means that it runs on the 86 architecture aswell as the new Athlon 64 bit systems. I hope this helps, and of course, dont quote me on anything.
64 bit means double the pipe, but that doesn't mean double the speed.... i686 was built after i386 and is backwards compatable. Your running a P3 I'm guessing so it should be i686, which can run i386 and i686, but you want to run the i686 because it has more optimizations towards your cpu arch.
64 bit means the addressing range ie 2^64, as opposed to 2^32 (i386, 486, 586 (pentium etc), 686).
Both Intel and their competitor AMD have both architectures avail.
We are currently in a transition period as 64 bit takes over from 32 bit.
32 bit SW can run on 32 bit or 64 bit HW. 64 bit SW can only run on 64 bit HW.
64 bit systems tend to be a bit faster for 2 reasons:
1. newer (faster) HW
2. wider bandwidth on I/O bus etc.
Not all apps have 64 bit versions. For home use, you won't notice a significant difference, if any.
For commercial/large org scale users, the extra addressing range is mostly of benefit to large DBs eg Oracle. They will notice a difference (assuming fast disks etc).
Some calculations may(!) benefit as well eg academic (research) environment.