To build a HTPC for 500$ or so, the main thing is to have integrated chipsets.
ASUS M3A78-EMH HDMI AM2+/AM2 AMD 780G HDMI - $89.99 -- If you aren't planning to use Phenom, you can always use M2A, which are about 69.99
AMD Phenom 9600 Agena 2.3GHz 4 x 512KB L2 Cache 2MB - $169.99
G.SKILL 4GB (2 x 2GB) 240-Pin DDR2 SDRAM DDR2 800 (PC2 6400) Dual Channel Kit Desktop Memory Model F2-6400CL4D-4GBPK - $84.99
SILVERSTONE Silver Aluminum front panel, 1.0mm SECC body LASCALA SST-LC13-S ATX Media Center / HTPC Case - Retail - $99.99
SeaSonic SS-350ET 350W ATX12V Ver.2.2 Power Supply with power cord - $53.99
or
SeaSonic SS-400ES 400W ATX12V V2.2 / EPS12V V2.91 Power Supply - $54.99
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$498.95~499.95
A 780G chipset delivers a ok graphic in terms of gaming. If you are using it only as HTPC, then its is no problem. 780G = ATI HD 3200-ish graphics.
I think that 350W would suffice, but some people think that it is not enough, maybe a 400W
Since you didn't list that you needed a HD, I didn't list one.
You can always adjust memory/cpu to fit your need. Since I do a lot of encoding on my HTPC, I like having the Quad, but if you don't do stuff like those, Dual cores are always cheaper.
Same for case, adjust it to fit your tastes, but be forewarned, HTPC cases tend to be relatively expensive. So if you don't really care all that much, you can go for a cheap ATX case which usually can be had for 60~80.