Athlon XP is the old high-end processor line for AMD, now replaced by Athlon 64s. Sempron is the new budget processor line for AMD, replacing the Duron. The Sempron, despite being the new value processor, seems to be more efficient than the Athlon XP -- for example, the Athlon XP 2400+ was 2Ghz, but the Sempron 2400+ is only 1.667Ghz.
I haven't really looked into them yet; I'll go find something useful about them. A comparison, maybe.
EDIT: I think Semprons are based on the Thoroughbred-B core, by the way. Which is the same core used by later Athlon XPs (pre-Barton). I'll have a look, though.
EDIT 2:
Here's a comparison that suggests that a 2500+ Sempron will not outperform a 2500+ XP. Also points out a few technical differences.
EDIT 3: Alright, I was partially accurate. After reading around, I get the impression that there are at least two versions of the Sempron. The first is based on the good ol' socket-A, based on Thoroughbred-B (Athlon XP) cores.
The second type is a socket-754 processor. It's directly related to the Athlon 64 (K8) processors, but it's been stripped down quite heavily. Despite this relation to the Athlon 64, then, it's still a 32-bit processor. This version comes with some of the perks of the Athlon 64s that the Athlon XP doesn't have, however, for example the socket-754 Sempron is compatible with Cool-'n-Quiet technology and has SSE-2.
EDIT 4: Hopefully the last edit

. I found a picture of the two Semprons so you can visually see the difference:
The one on the left is the Sempron based on the old Athlon XP, the Socket-A Sempron. The one on the right is the newer Socket -754 processor, based on the K8 Athlon 64 cores.
EDIT 5: Alright, so it wasn't the last edit. I also found out that the Sempron 3000+ is based on the Barton core.
And I also found out that the rating system (e.g. 2500+) isn't the same scale as the ratings used for Athlon XPs and Athlon 64s. Instead, the ratings are directly based on the clock speeds of Celeron D processors, Intel's new budget processor. So you can't really compare the rating of a Sempron to an Athlon XP like I did earlier.