Don't go with a Pentium processor. As anybody here will tell you, AMD's processors beat the pants off of Intel's as far as gaming is concerned. Their Athlon 64 models with Venice cores run very cool and can be overclocked incredibly well. Even a base model like an Athlon 64 3000+ can easily be overclocked to a speed way past its stock.
There are also a number of great AMD motherboards out there to go with an Athlon 64. If you're looking to overclock every last ounce of juice out of your parts and then get some more on top of that, the DFI LanParty series is for you. LanParty boards overclock so well that they've literally achieved a cult following spanning across literally every computer forum that you can think of. EPoX also makes great overclocking boards that overclock just a bit less than the LanParty boards, but they come with lots of helpful features that I personally like. There are quite a lot of good Socket 939 (Athlon 64/X2/FX) motherboards to choose from.
And although AMD boards don't support DDR2, there are still a lot of good manufacturers of regular ol' DDR out there that will give you great performance. Crucial (my personal favorite), Corsair, and Mushkin are some of the more popular choices. All three of them offer lines of performance memory that would do a gamer well.
The hard drive you chose doesn't really seem to be all that great. It's kind of strange to see a monster video card side-by-side with a tiny hard drive, to be honest. If you're a gamer then obviously you're going to need some space to put those games and 80 gigabytes really wouldn't do a good job of that. I'd recommend getting a hard drive at least 120 gigabytes or possibly 160 so that you've got room to put all your games, music, et cetera. Samsung offers some great hard drives that size that are widely regarded as the most quiet ones, if that makes any difference to you.
As for a case, well...there's a case that I've had my eye on for a little while now that you might be interested in. Gigabyte is entering the Case market and they're putting out their first case, the 3d Aurora. For their first stab at trying to make a case, they've really done a hell of a job:
The case comes with three very quiet blue LED 120mm fans - one front intake fan and two rear exhaust fans. It's made of aluminum, so it's nice and light if you want to carry it to a LAN party. The left side of the case is perforated neatly with airholes to increase circulation in the case while giving a window-like effect. Installing components in the case is completely tool-less, so installation is a snap (literally). It's also got two security locks with keys that are different than the ones commonly used in case locks so everybody won't have the keys to your case.
It's even got an LED projector on the front (you read that right!) that projects a customizable display about an inch or two from the bottom of the case. Very cool!
But better yet, this case has two little holes on the bottom right near the PCI slots so that water-cooling setups will have an easy time fitting into the case if that's what you want to do. And oddly enough, Gigabyte's putting out a water-cooling kit that's specifically designed to go with their 3d Aurora if you want to get started with water-cooling.
The only downside is that the case isn't actually out yet and I'm not sure when it will be. It was supposed to release some time in July but I guess it got pushed back for reasons unknown to me. I'd assume it would go retail some time in the near future. But hey, when it does I know I'll be buying it.