Not a bad setup, it's just too bad you got screwed out of the SATA hard drive. It really sucks when people who work at computer stores don't know anything about computers. At any rate, with that setup you should be happy for a while. There are a few things, though, that you'll probably want to upgrade when you can.
First off, the 300w PSU is a little small for a P4. Since you don't have it loaded with devices I'd say you'll be OK for a while, but you should think about bumping it up to at least a high quality 350-400w. Second, I'm sure you'll want to add another 512mb stick of RAM soon enough, but unfortunately your motherboard doesn't support dual-channel mode so you'll still get the benefit of the extra RAM, but without the speed boost of DC mode. If you really want the speed boost, though, you could always swap the mobo out for an i865 or i875 later on.
Finally, the video card. As you probably know, the 9600SE is the "budget" card in the 9600 line, so although it performs great for the price, you'll probably eventually want to swap it out for something a little more powerful if you're really into gaming. You could always consider moving up to a higher-end 9600 like the 9600 Pro or XT, but you're probably better off to save your money for a while and take the jump to a 9800 when you can afford it.
All-in-all, a great starting point for a gaming rig. It should keep you happy for a while (especially considering you upgraded from a Celeron
) and with a couple simple upgrades, it'll be ready for games like Doom 3 and Half-Life 2 when they come out.