Wolfdale is the dual core Penryn CPU for dual socket servers (successor to Woodcrest). Yorkfield is the Penryn version of the desktop single socket quad core (Core 2 Quad). It's possible the Wolfdale could run on a single socket motherboard, although I'm not aware of any examples. A motherboard which supports one of them would likely also support the older equivalent version, possibly with reduced FSB rating, but their seems little point in buying a new motherboard if you don't intend to use the new CPU it was designed for.
For applications which exercise memory bandwidth, the higher available Penryn FSB rating (1333Mt/s for Yorkfield, 1600 for dual socket Wolfdale dual core and Harpertown quad core) often gives more advantage than the other performance improvements.
Penryn also features major improvements in performance for a few instructions, notably divide and square root, as well as some new instructions (SSE 4.1). Yes, as they are all multi-core, they do support threaded applications.
