AM2 has support for DDR2 memory and will support faster chips than socket 939 will in the future.
In more detail:
The upcoming move to AMD Athlon64 AM2 will introduce a new Socket 940 design. The new Socket is very close in design to the current 940 design used on Opteron motherboards. It appears the pin-outs have been changed just enough to prevent the new AM2 processors from accidentally being plugged into older Socket 940 boards.
It was already clear the new CPU would require DDR2 memory, but it appears AMD is also using this architecture change to upgrade the current mounting scheme for Athlon 64 heatsink/fans. The new design is certainly very secure - more stable than the current design - but there are very few existing heatsink/fans that will work on the new cage. From Socket 754, 940, and 939 the same heatsinks have all worked on all Athlon 64 sockets. With AM2 that compatibility basically ends.
For those buying a retail CPU with the HSF this news won't matter at all. For enthusiasts that have invested in more exotic air, water or phase-change cooling solutions for Athlon 64 this could be important news.
Heatsink, water-cooling, and phase-change designers can make a few changes to existing designs that will allow their products to work with both the new AM2 design and the existing A64 754/940/939 design. Keep in mind, though, that it is not likely your current favorite cooling solution for Athlon 64 can go with you to the new AM2 platform.
Speculation is still circulating on exactly when the new AM2 will be launched. Several weeks ago, it appeared likely an AM2 launch would happen in the Cebit (early March) to end-of-April time frame. Announcements of delays the last few weeks now point to a July release date. Whenever the launch happens, those moving to AM2 will at a minimum need a new processor for a new Socket 940, new DDR2 memory to replace existing DDR memory for Athlon 64, and a new or revised heatsink/fan cooling solution.