Well first you want to decide between Winchester, Venice, San Diego, or even X2. I would recommend either Venice or SD and at least a 3500+. Next you should take advantage of the dual channel RAM by getting, of course, dual channel RAM. Pick a good motherboard (depends if you want AGP, PCI-E, or SLI). After that, pick a video card. Then you're pretty much set on the main components.
*Shameless plug*
I have a DFI LanParty UT nF4 Ultra-D if you're interested in buying it. Only 2-3 months old. I just pulled it out of my system to sell to someone else but he pulled out of the deal. Everything is in full working order and never overclock on that system. PM me if you're interested in this mobo.