First of all, if you're going with Dell XPS, then I'd wait until they convert the chassis and PSU to BTX. They've already made the BTX move on their high-end and mid-range Dimension, Optiplex, and PowerEdge (uniprocessor) lines. So you'd logically expect them to transition the XPS line as well. Although I hate it because of the upgrade costs, BTX is the future of the Intel camp no matter how much resistance is put forth.
Secondly, if you're really into gaming, then the (socket 939) Athlon64 and SLI is really the way to go. For the amount of money they charge, you could build a killer SLI/SLI ready (or Radeon X850) rig, not to mention that your most important components (i.e. CPU, motherboard, PSU, graphics card, HDD) would already include a 3 yr. warranty whereas you'll have to pay more just for a 1 yr. Dell warranty.
Example:
Athlon64 Config
AMD Athlon64 3500+ (Venice core): 225.90 (ZZF)
Asus A8N-SLI Premium: 168.00 (ZZF)
Corsair VS1GBKIT400 (1GB CAS 2.5 DDR400): 90.50 (ZZF)
Leadtek Geforce 7800 GTX: 495.00 (ZZF)
Soundblaster Audigy2 ZS: 83.99 (ZZF)
Samsung SpinPoint P HD160JJ (160GB HDD w/SATA 3Gbps, NCQ): 108.95 (ZZF)
NEC ND-3540A dual layer DVD±RW: 47.25 (ZZF)
Antec P180 case: 132.95 (Techonweb)
OCZ Modstream 520W PSU: 94.00 (Monarchcomputer)
Logitech Internet Pro Keyboard & Optical Mouse Combo: 19.99 (ZZF)
Windows XP Home Edition OEM: 84.99 (ZZF)
Total: $1551.52
Dell XPS Gen5 Config as of 8/6/05
Intel Pentium4 640 (3.2GHz)
Dell motherboard w/Intel 955X chipset
1GB DDR2 533
ATI Radeon X850 XT PE
Soundblaster Audigy2 ZS
160GB SATA 150Mbps w/NCQ
dual layer DVD±RW
Dell proprietary case and proprietary 460W PSU
Dell USB keyboard and optical mouse
Windows XP Home Edition OEM
3 yr. std. warranty
Total: $1780.68 + $19 Handling Fee (WTF?) + tax
Even if you add a monitor, the DIY config stil comes out cheaper, and just like katwomansz states, the Dell PSU is proprietary. Thus, if you ever want to upgrade and need more power, you're SOL. Doesn't sound like much of a deal to me.