If you absolutely must spend $400 on a CPU, RAM, and M/B, then definitely go with what Wingz listed. However, I'd suggest you save over $100 and get the following system:
CPU: Athlon XP 2200+ (1.8GHz) and HSF $150 shipped
RAM: 256MB DDR333 CL2.5 Kingston $65 shipped
M/B: ASUS A7N266-V $84 shipped
Total: $299
You get a damn solid motherboard (ASUS) and chipset (based off NVIDIA's nForce chipset, which comes with high quality sound, LAN, USB 2.0, and GeForce2 video if you need it). You'll get some good RAM too (we use this type of RAM in most of our motherboard reviews actually). Since I don't know exactly what you want this system for, I can't say this for sure, but chances are you'll almost never notice the difference in CPU performance between the Athlon XP 2200+ and the 2.53GHz P4 Northwood. Unless you put great faith in the oh so reliable Sysmark 2002 (yes, that's sarcasm), chances are you'll be fine with this CPU.