That's not strictly true. In games like Far Cry 2, which are heavily multithreaded, a Core i7 system will be much faster than any thing else with similar graphics. Have a look at
this comparison of the X4 955BE and Core i7 920 and you'll see what I mean - with the same graphics card the i7 is 33% faster in Far Cry 2. With AMD bringing out budget Athlon II 3 and 4 core processors this year, a lot more developers are going to be writing heavily multihtreaded software as multicore moves into the mainstream.
On the other hand, very few current games make best use of multiple cores, and most (unlike Far Cry 2) are also GPU bound at higher resolutions - so
at this exact moment in time you're better off spending the extra money of GPU rather than CPU. But that won't be the case for much longer