In regards to your first questions, you're going to get a lot of different answers from different people.
In my opinion AMD 64s are the overall fastest proccesors out there right now. They are faster in gaming applications for a fact, although they do trail behind P4s in other benchmarks. They should suit your needs though unless you are doing running some serious proccesor devouring programs.
Yes, you can install XP without any problems on AMD 64s.
I've never bought anything online before, so I really wouldn't know. It's always best to see what other costumers think of the site before buying from it, but newegg is good, I know that for a fact.
Depends, some motherboards do have built in video cards, but they probably won't be very comparable to any AGP or PCI Express cards out there. Also, motherboards with built in video will probably be a bit more costly.
Again, you're going to get some different answers here. I'd recommend either the Radeon 9800 Pro or the 9600XT, or if you are planning on using PCI Express, the X700. I personally prefer ATI, and I haven't followed nvidia much lately, so you'll have to leave those recomendations to someone else.
No, motherboards do not come with proccesors on them, unless you buy a prebuilt computer of course.
You shouldn't need any cables, everything should come with the hardware you buy, although that isn't guranteed.
Intel C2D E6320 / AMD Athlon X2 3800+
Gigabyte 965P DS3 / DFI nF4 Ultra-D
2GB OCZ Gold PC2-6400 / 2GB OCZ Gold PC4000
eVGA 8800GTS 320MB / eVGA 6800GS 256MB
150GB Raptor / 74GB Raptor
2x500GB / 320GB
OCZ GameXStreme 850w / OCZ StealthXStream 600w