OK So first off you would want a dual core, thats for sure.
The video card is ok if you'r not planning to go for the ultra highest resolutions on highest settings, if you do, get an ati x1800xt or if you can affored ---- x1900xt. the AA/AF on those looks x10 times better and they are just generaly are better...
Good screen, good HDD [get either the seagate barracuda or the w.d. caviar both are good].
Mobo, AM2? with 2GB of DDR2 [for future upgradability both AM2 and DDR2 are best for AMD, although for now they dont exactly shine on benchmarks], if you can affored 800mhz if not 667mhz @ 4cas latencies.
Liquid cooling, a custom one, purchase it at www.petrastechshop.com
<<Best place for you tobuy those.
Case, I'd suggest the Gigabyte Aurora 3D [its big, aluminum made and the pros overcome any con in that case, and its GREAT for watercooling (Was preconfigured to work with such a cooling solution)]
Hmm and a psu i'd suggest a 500watt antec truepower 2 or something equivlant, not lower... water cooling with a good card and stuff needs that juice
About you'r pentium question, NONONONONO!! in a month time there will be no more Pentium!! Intel is moving to the "Conroe" aka "Core 2 Dou" [or is it opposite? Core 2 Dou codenamed Conroe hehe] which actualy outmatch any current AMD out there but we're not sure of the prices yet.. the E6600 which supposed to be the best bang for the buck [beats an amd FX-62] supposed to cost 350$ but we can not tell for sure anymore...
So if you can wait and don't have a problem with it, I'd suggest a conroe E6600 powerd machine.
Oh and if we're into waiting for new hardware, in two months +/- new video cards should be out, and they'r supposed to be really good [nvidia releases gpus that are revision-codenamed 80, and ATI will release the R600 revisions.]
So I suggest either getting an E6600 conroe powerd computer with an x1800xt/x1900xt [depends on your budget] or one of the new video cards that'll come out soon..