If you have a desktop you will notice the fan runs nearly all the time also. You have essentially bought a desktop Pentium 4 which is optimized somewhat for a notebook (4M) but still runs very hot and will run the fan most of the time.
The thing I love about my Pentium M Centrino Compaq X1360US (Compaq X1000 series and HPZT3000 series) is that the fan never is on at all when using wi-fi (web surfing) or Microsoft office and only comes on when playing games or using the hard drive heavily (or comes on occasionally when running a DVD).
The fan had better be running nearly all the time on your Pentium 4M or the case will melt. On a desktop there is a lot of empty space inside to accomodate the heat but on a notebook there is not so the fan has to run all the time on your notebook to make up for this issue.
You have essentially purchased a desktop case shrunk down with an LCD attached so if you wanted silence you chose the wrong cpu.
These Pentium 4M chips will likely be the first phased out when the new 64bit 2 cpu per chip units come out in the future from AMD and Intel.
The Pentium M line (although also 32 bit) are extremely popular right now due to their battery life, smaller and thinner notebook cases, and less heat (and very comparable cpu performance to a Pentium 4M) so they will be great choices until the 64bit chips are released.
Note that Intel just cancelled its Pentium 4M 4.0 ghz chip completely confirming that the mhz speed chase is over and chips focusing on multitasking (2 cpus per chip), longer battery life (of which Pentium M and Apple cpus as well as Athlon 64 to a degree already do) and other features.
The only reason I see to buy Pentium 4M's now at all is if you want one of the 17" LCD notebooks with 128mb dedicated video which offer a LCD and game performance comparable to a desktop. These also weigh close to or over 10 pounds so they are meant to stay in one place most of the time (or realtors use them in homes to display data).
But for everyone else (and especially people who actually want to use wi-fi unplugged moving around or at Starbucks or as students) a Pentium M cpu or Athlon 64 notebook are better all around choices (and the Athlon 64 has the best future for 64bit as well)
I have chosen to purchase Pentium 4M notebook over Pentium M notebook, because I believed that Pentium 4M notebook will give better performance. I have been satisfied with my notebook except the fan noise. Even when I just surf the net, the fan sets off occasionally and runs for few seconds. I rarely play games. But whenever I play games, especially those that play in full screen mode, the fan runs in full strength with loud noise all the time. It is not just noise that bothers me, but this loud fan noise makes me feel scared that the notebook might burn up if I play this game long time. Is it safe to let fan run in full strength for extended period of time? How durable is notebook fan, compared to other notebook components?