It is true that AMD's Athlon64 is slightly faster than Intels Pentium 4 in a lot of cases, but when encoding video the Pentium 4 has a small advantage. However, both Intel and AMD processors should work fine for encoding video. Over at tomshardware.com they have set up interactive CPU charts, take a look at them to find out more about how both cpus perform:
I have built quite a few AMD systems for both myself as well as others and have never experienced nor heard of any compatibility issues with AMD processors. Be sure to stick with a mainboard, with either a VIA or an nVidia chipset, from a well-known brand like Asus, DFI, MSI, etc.
As for heat, at 100% workload the Pentium 4 is less energy-efficient than the Athlon64 and thus will produce more heat. You need a good cooling solution when letting it perform intensive tasks like video encoding. (But of course the same goes for the Athlon64.)