With Athlons in my experience (including the XP) it's not that they all generate more heat, it's the speed at which they burn out if your fan dies or isn't cool enough. I know more than 5 people who have lost athlons to heat, 2 of them to fans that were not cool enough, and the other 3 or 4 to fans that stop working.
I'm not sure if they use smaller power runs in the die, but something they did has caused them to be more sensitive to heat than the Intel chips.
