Ok, I just have to do a small rant here. Please actually listen to the advice being given here. I mean, you asked for our advice and what people are saying about the CPUs, motherboards, and video cards are all completely correct.
1) Wait and get a Core2 Duo CPU!!! Why, well, just look at the numbers, using your specified high end game, Oblivion. Just getting a new Core2 Duo E6300 over a Pentium D960, you will see a 30% frame rate improvement. 30%!!!!! And the price difference you ask? A SAVINGS of $380. Yes, you read that correct. By getting a Core2 Duo E6300 you will get a 30% speed increase in your game performance AND SAVE over $380 vs the top of the line Intel D960. This is also the reason why Intel is ceasing production on the D960 by the way. Compairing against the D945, well the E6300 gives you an approx 45% performance increase at only 12% more cost (a whole $20 for the processor).
2) As a direct result of the CPU discussion, you should be looking at a single graphics card solution at this immediate point in time. The motherboards that are available that support the Core2 Duo are limited in terms of SLI support at the moment. Read the article on anandtech's front page:
http://www.anandtech.com/mb/showdoc.aspx?i=2797
3) Yes, you will be thanking us for this advice if you follow it. The price differences we are talking here are extremely small for the performance gains that we are also taking about! In fact if you even try to come close to the performance that this new CPU offers you from a current CPU, that CPU would cost you ~$800, in other words, you SAVE $600 by getting this CPU.
Again, we kinda know what we are talking about here. I mean, you asked us for our advice, and it is the above. You are wasting your money if you get a Pentium D series CPU. I can not think of a single reason to get one at this point in the game. The only reason might be because it was free...