Compatibility issues? With software? Unless the author only made a pentium only build, you shouldn't be having problems. If you buy a motherboard that says it supports it, that wount be a problem either.
I'm running an Athlon 1.4GHz (With GeForce 3 ti 500). It runs n64 (pj64) fine. But, I normaly play n64 games on my n64. The games are cheap enough that I don't mind buying them by the dozen ;] (I do see the apeal of having an all-in-one box though)
I'm no athlon advocate, I've yet to buy one of each and run them side by side to have enough personal experience to say one is better then the other.