Bear in mind I'm pretty clueless about hardware on the whole. But I guess Pentium is just superior technology, more performance with less power lost to heat. So it's probably better for mobile devices where you work on a battery and and less noisy assuming you have a cpu fan for cooling.
Athlon is similar, it's powerful enough to compete with Pentium but it's less efficient and overheats more easily. At least this was true a couple of years ago, now both manufacturers have evolved with new mobile technology etc, so it may have changed.
Obviously, you don't get hyper threading with a Celeron (or an Athlon for that matter).