Processors are called with different names depending on the
segments they are targeted for or depending on their intended use. 

  o A processor is called a "Microprocessor" (ex: Athlon,
    Coppermine, etc.,) when it's targeted for a segment
    consisting of general purpose and versatile applications
    commanding higher prices. Typical market segments for
    these are PCs, workstations, etc., where the users can
    through at them different applications at their will
    like spreadsheets,  word processing, CAD programs, and
    what not. 

  o When a processor is targeted at the segments that use
    them for a specific or fixed application, then you apply
    the term Embedded processor to it. Many of the current
    Microprocessors, will eventually get marketed (with
    lowered manufacturing costs) into the embedded processor
    market at lower prices($10-$50), after they loose their
    luster in the PC market (EX: K6 3XXMHz listed in the
    post by Jim)  Processors are also designed from the get
    go for the embedded markets.

  o Microcontrollers - These are processors too, but they are
    designed from ground up to be low cost, low processing
    power. They contain additional circuitry on them for
    easier interface with the real world, with few to no
    external components(to minimize the total costs).
    These are primarily used in fixed applications requiring
    less processing power at a lower cost. Usually they
    go for 10cents a piece to $5. Typical applications for
    these devices are keyboard interfaces in appliances,
    toys, etc.