Processor: if you're going 939, you'll pay a little more, the 3500+ is $500 and the 3800+ is about $700, but keep in mind those were just released today, so they should go down somewhat as supply increases. Socket 754 would be cheaper right now, you can get a 3400+ OEM for $400. While there is slight performance gains from 754 to 939, the biggest thing about it seems to be upgradability.
939 article here. If you plan on upgrading within the next year or two 939 would be best because you wouldn't necessarily have to upgrade your motherboard, but then again you can save a bit and go with a 754 setup and when you upgrade your processor from that several years from now you'd need a new motherboard thats BTX form, DDR2, and PCI Express. Up to you..
Motherboard: Well the 939 motherboards haven't surfaced too much yet...but Anand also did a nice review of the best 754 motherboards
here.
Ram: I would recommend 1 gig of RAM, should be plenty for right now. Not my area of specialty, any decent brand (OCZ, Corsair, Mushkin, Crucial, Kingston, etc) would probably be ok.
Video: I would hold out and get a 6800U or X800 XT at that price range. They will hopefully become available within the next few weeks. Or if those aren't available a X800 Pro
Audio: If you digital speakers and get a motherboard with the nForce 250 chipset the onboard sound will be great. Whether or not you want to go with the onboard sound for analog or with other chipsets is up to you. With that budget you should be able to handle the extra $71 for a Sound Blaster Audio 2 OEM card.
Hard Drive: 74gb Raptors in RAID 0 are really nice... or you can opt for a 120gig 7200rpm 8mb cache drive from WD, Samsung, or Seagate.
Case: A nice aluminum case from Lian Li or CoolerMaster would do well. Case if more of a preference thing though, so find a good brand and get one
you like. Don't skimp on the powersupply, if the case doesn't come with a decent brand, say Antec or Enermax.
DVD, Floppy Drive if you want, Keyboard, mouse etc.