Basically they are more efficient per cycle and thus can process more data per in each cycle which means an equal amount of data can be processed as a Pentium at a much higher frequency.
You don't just want your CPU to move quick, you want it to work quick.
How do you do that? You do a lot of work per hour or per second or per cycle just like you would at your job.
If you run around your office at 50mph doing hardly anything that doesn't get the job done quite as well now does it?
Mhz/Ghz isn't the only part to the equation while work per cycle is the other, which isn't something they advertise.