"Ive been looking at nestegg (I think thats the name) and have seen a few things."
I believe you mean Newegg.com. Good site. Also try www.zipzoomfly.com.
mobo brands - Abit or Asus
PSU(power supply) brands - Thermaltake or Enermax (something like that lol)
sound card brands - Creative Labs
CPU - AMD (gaming CPU) or Intel (applications CPU)
Video Card brands - ATi or nVidia (9900 at least for ATi or 6000 for nVidia [don't use nVidia so I don't know])
Hard drive brands - Hitachi or Western Digital (NOT Maxtor, apparently, they're horrible)
Optical Drives brands - Lite-On, Sony...can't think of any others at the moment.
Case brands - have no clue...sorry.
Mainly, the choice of the mobo determines all the other kinds of parts you buy, so choose wisely...very wisely, or let someone reccomend a good one to you. About your question of celeron and pentium CPU speeds: http://www.techist.com/showthread.php?threadid=28257
. Hope it helps! And your XP question...I don't know of anywhere that sells preloaded OSs.