Processor: Q6600 g0, (or if you see it a Xeon 3220 g0 same price same part just better binned and higher thermalspec), and oc the processor to atleast 3ghz.
Processor cooler: Thermalright ultra 120 extreme
Memory: Ddr3 is currently still extremely overpriced and just not WORTH the money, go for ddr2 pc8500 (ddr1066). Go for atleast 2 gigs can do some more.
Motherboard: If you don't think of running dual graphicscards, i'd get one of the gigabyte P35 chipsets. like the GA-P35-DS3R its cheap and a good performer, if you think you'll swap out the memory later on go for a GA-P35C-DS3R. Don't go for ddr3 atleast for now.
Videocard: This is a hard question in november the next series will launch, that will be the extreme top end for the rest of the year and possibly dx10.1 support. Depending on what you have now it might be worth the wait (processors come out aswell but for gaming are often less important).
I say get a radeon X1950pro, then in november get whatever the top card (gtx) or one below (gts) is that nvidia brings out. With your money budget you can get a 8800gtx but i'd personally wait a bit. And be uber super for another year to come ;P.
Case: A case you'll see often so it might be handy to check and find one that you like, make sure that its silent, and if it got a built in psu, that its atleast 500 watts. Go for a branded case your case often lasts a few generations. The powersupply is important, antec neo-he or seasonic ones perform pretty well and are pretty silent.
Harddisc: Just get 2 seagate barracuda 500gb (or bigger if you prefer), in raid or something.
Sound: Depends on your speakers, although for gaming creative solutions are best, because they offload cpu power. But if you're a music listener go for other solutions
. And if you got crap speakers like any set of computer speakers you might aswell stay to onboard sound.