Well, most of the systems I've built have been AMD's, so we'll go with that for my suggestions. And if you're going with new CPU, Mobo, Memory, and Graphics card only, $500 should buy you a very nice setup.
If you want to go with all one place, little hassles, I might try
MWave. I've been pretty impressed with their service. This is around $400, and I'd check for another 512 meg stick of DDR2700 when it lowers in price to bring you to around $500.