Here are just a few of the many websites that can be useful in deciding what to buy.
HardOCP
Hexus
Overclockers.com w/ CPU Database
Motherboard Reviews
Motherboard Reviews
ArsTechnica
Storage Review
Xbit LAbs Reviews
Canadian Prices on a system I bought yesterday that overclocks very well:
Soltek SL-75FRN2-L 108.00
Soltek FX5600 Video 152.00
2 x Vantec Stealth 80mm Case Fans 19.00/pair
AthlonXP Barton 2500+(Retail w/Fan) 117.00
Liteon 16XDVD/48x24x48CDRW Combo Drive 67.00
FDD 10.00
Antec SLK2600 Case swapped 300W PSU w/Thermaltake 420W PSU 104.00
Rounded Cables (Floppy + 2x IDE) 26.00
OCZ Dual Channel 2x256MB PC3200 DDR w/Copper Heat Spreader 169.00
Seagate 80GB 7200RPM HDD 84.00
Total 856.00 CDN (Approx 635.00 US?)
To me this was a solid custom system on a tight budget. Compromised somewhat (non-Intel, didn't get all the "brand-name stuff", matching colours.. etc), but overall a nice overclocker and stable performer @ a solid price. The M/B, AMD CPU and video card is where the money was saved w/o any, or VERY minor performance loss. Hit 2470Mhz stable (over 30% increase) with room for more. This is w/ the stock Heatsink...the quality RAM helps though.
If I went the Intel route(which I actually prefer[ed]), the xtra 200.00 would have broke my budget.
Anyway, moral of the story.... you don't have to spend a fortune on top gear, there are alternatives at a lower price, just don't go too cheap on RAM, HD and MB unless they are proven reliable through reviews and so on. If cost isn't an issue...great.
Have fun.