All CPUs have to have a cache. It's a small peice of RAM that acts as a repository for all the data that passes in to and out of the processor.There are two types, both which are found in all CPUs; level 1, which is very small but very fast, and level 2, which is slightly slower but much bigger. Typically between 256 Kbytes and 2Mbytes.
More cache gives a bigger real-world performance boost than an extra few Mhz in clock speed. Pentium 4 and Pentium M CPUs tend to have 1-2Mb, while AMD Athlons have 512kb to 1Mb. That does not necessarily make Intel CPUs faster than AMD, given other varations between the two ranges. As a rule of thumb, the more cache, the better.