I recommend an XPC as well...
I built one for my wife based on the Shuttle SN41G2, and although she is not a "heavy" gamer, she can play all of her flight sims easily using the integrated video. The fact that it has built in Dual VGA doesn't hurt either.
If you want serious games, I would reccomend either a P4 or Nforce2 based unit. The Nforce2 has beautiful sound, but some say the P4 unit runs cooler and quiter (I have no first hand experience on this). Either of those, paired with a good AGP card would be as good as almost any full size system for gaming. The shuttles are not the quitest, but there are tons of mods out there if you feel the need. The Shuttle that I have actually starts out loud, but then throttles down the fan almost immediately. My wifes is not loud at all, but she is only running a 1700+ and no extra cards.
I would also ask this question in the "Small Form Factor" forum. Or do a search there.