How about this:
[*]Antec SLK1650 case with Antec 350W PSU
[*]ECS RS480-M Socket939 motherboard with onboard Radeon X200 video to start out with. Has PCI-Express upgrade slot for when you have more money.
[*](1) 512MB memory module to start out with, get a second one later.
[*]Athlon64 3000+, retail-boxed with heatsink/fan included
[*]Seagate 7200.7 80GB ATA/100 hard drive with 2MB cache
[*]BenQ black dual-layer 1620 burner with bonus 2 packs of discs
[*]WindowsXP Home Edition with SP2
That's about $520 before shipping. It won't run today's games well, but at least it doesn't make you buy stuff over again when you want to upgrade the video or the memory. Add a used 6600GT and another 512MB memory module later, and now you're ready to play some HalfLife2 or FarCry 😎
You could also consider a Socket754 setup, but none of them have onboard DirectX 9 video and it's more of a dead-end route to go. Another possible money-saver is to get a free 180-day trial of WinXP Pro x64 Edition from Microsoft's site, and use that while you save up for Windows. In the meantime, you could spend that money towards an add-in video card or 1GB of RAM.
Hope that helps with some ideas 🙂