so you have the hard drives, what else do you have, the monitor?
I would suggest something along the lines of:
Athlon 64 3200+ Venice (not Newcastle)
the Athlon 64's are currently "the" CPU to get for gaming. the Venice cores overclock really well. it can get from 2.0 to 2.8GHZ on stock cooling. that will outperform a >4GHZ Pentium 4 in about any game
2x512MB G.Skill RAM - this stuff is the best RAM for overclocking. is guaranteed to get DDR600, and without cooling.
video card: they will be releasing new video cards very shortly, the Nvidia 7800's and ATI X900's
the current top video cards are ATI's X850, X800, and Nvidia's 6800
out of these, I would say go for the 6800 GT, it is lower in price than the X800', except for the XL, however it has the advantage of better OpenGL performance and Pixel Shader 3.0, while getting about equal Direct3D performance.
I would however suggest to wait a bit for the new cards to come out. either you can choose one of the new cards, or get a 6800 when they drop in price.
oh, and don't go for the 6800 unless it is a GT or Ultra. the plain 6800 has 4 less pipes, doesn't use GDDR3, and has lower clock speeds.
look for PCI-E, the new expansion slot which will replace both PCI and AGP
PCI-E 16x is for graphics cards, and PCI-E 1x is for other misc parts.
for your motherboard, the DFI NF4 Ultra-D is about the best motherboard you can get. it has 8 channel (7.1) sound, and is the best overclocking board for Athlon 64's
it also has 2 PCI-E 16x slots so you can get 2 video cards and run them in SLI or Crossfire (Nvidia=SLI, ATI=crossfire)
that means both video cards are rendering the one screen to give better performance. not that you'd need that with current video card standards though, but it gives you the option
for your PSU: an Antec 480W at least. just don't go cheap on them, as parts like these need reliable power.
good PSU brands are OCZ, Antec, Thermaltake, Enermax and Cooler Master (yes they make PSU's now)