A X850XT on AGP would be the best choice here... They will significantly improve your framerate, in every game... You could still take this last upgrade, as your whole subsystem, bar the RAM (if it's PC3200) and HDD, will have to be replaced, which will cost a lot more than the $ 250 you'll be spending on the X850XT...
Power requirements will be about the same, as a Radeon 9800XT draws more power than a X800XT, so in this case it will be no big difference either...
EDIT: BTW, waiting what Socket AM2 brings, is in your case a wiser thing to do... After that, you can still decide whether to go with Socket 939 (which will hopefully be dirt cheap by then) or Socket AM2...