After doing an upgrade myself last month, I can HIGHLY recommend a P4 2.4C/2.6C-based setup. You just can't get any better bang for the buck right now. My setup is an ABIT IS7-E ($94), P4 2.4C ($170), and 1GB Geil PC3500 ($225). The overclocking potential I've found is astonishing... I started pushing up the FSB from the default (200MHz), and the chip just didn't stop till I hit 280MHz, yielding a clock speed of 3.36GHz! After purchasing a Zalman 7000AlCu HSF for better cooling, I'm cruising along at 3.12GHz, which is 100% Prime95 stable. Throw in the massive memory bandwidth (5700MB/sec in Sandra) and HyperThreading, and for $170, this chip crushes the AMD Barton. Although the 2.4C is about twice the cost of the $85 Barton 2500+, the difference in cost percentage-wise after you've added up all the common components like motherboard, memory, etc. is not very big, but the performance difference is. It's fun to watch the Q3 timedemo fly by in the blink of an eye and see the result of 530fps from a sub-$200 chip .
Graphics: Unfortunately, right now is not the best time to buy a video card because prices have been very slow to drop over the past year or so, meaning you have to pay quite a bit to get a respectable card (unlike a year and a half ago when a $150 Ti4200 could be overclocked to a "top-of-the-line" card). I'd suggest ATI Radeon 9800 non-pro 128MB which will be about $240.
Sound: The onboard sound on most high-quality boards will be sufficient if you don't have great speakers, but if you do, look at SB Audigy 2 (best for gaming) or Turtle Beach Santa Cruz (music).
HDD: If you don't have lots of big files you store on your HDD, a 36GB WD Raptor is probably the fastest drive you can get. If you're looking for something fast but higher capacity, the WD 8MB cache series is probably the way to go.
Case: I like my Antec Sonata... it's about $100 and comes with a high quality 380W Antec TruePower PSU. The Antec SLK3700 also comes with a good PSU but is only $65.
Vendor: Along with most of the users here, I'm a big fan of NewEgg.com. Their prices are great, their shipping is lightning fast, and their customer service is wonderful when you need to RMA. I'd also check out GoogleGear.com because their prices are sometimes even lower, and they are also a reputable site.
Good luck with the new system!