Depends. Overall, I'd say they are almost equivalant. If you lean towards multimedia stuff, the P4 will edge out the M by about 10-15% (0 - 5% for gaming)
The M just has much lower wattage requirements (thus longer battery life) and less heat.
Pretty much. Depending on the app, the Pentium M will be faster, or slower (on the order of a 2.4Mhz P4, relatively speaking). But slower will be primarily using Adobe Photoshop or other image/video processing apps.
No prob. I was considering getting a Pentium M for a completely silent desktop machine, but I didn't want the micro-atx form factor which is all the available mobos for the PM so far.