My 2 cents:
Power Supply - Most overlooked component
If money is of no concern :D, get PC Power & Cooling TURBO-COOL 850
Otherwise, get a Seasonic S12-600
Other brands worth mentioning are Zippy, Enermax, OCZ and Antec. DO NOT go cheap on the PSU, or you will regret it. To support SLI, you need a power supply that has dual +12V rails.
Case:
I used an Antec superlanboy. It is a little bit small, so the air flow is not that great. I heard good things about the Thermaltake Shark case, the Antec P180 and the Antec P160 cases. Larger cases are easier to work with and have better air flow in general. Better airflow = lower temperature = higher overclock potential. Get a case with at least one 120 mm exhaust fan. Larger fans move an equivalent volume of air at lower RPM. Lower RPM = Quiet case = good for your ears.
CPU:
If you have too much money to burn :), get the FX-57 or the X2 4800+. Otherwise, for single core, get the socket 939 Opteron 146. It is under $200 and the word on the street is that this CPU can overclock to 2.9 - 3.0 GHz (> stock FX-57) on stock voltage and air cooling! For dual core, get socket 939 Opteron 165, Opteron 170, X2 3800+, or X2 4200+ and overclock.
Heatsink & Fan:
If you intend to overclock, get a good heatsink/fan. The great ones I can think of are Thermaltake Big Typhoon, Zalman 9500 LED, Scythe Ninja and Thermalright XP-120. Apply Arctic Silver 5 thermal compound between CPU and HSF. Go to Arctic Silver website and learn how to apply for best results.
Motherboard:
DFI Lanparty boards with the nForce 4 chipset are great gaming boards. They overclock extremely well. However, there are too many settings to tweak in the BIOS and it can overwhelm a first time builder/overclocker. MSI and ASUS also produce good nForce4 motherboards. MSI generally overclock better than ASUS.
Memory:
The 2 x 1Gb OCZ Platinum dual channel revision 2 is great. They have a timing of 2-2-2-5 at DDR400, and they have very good overclocking potential.
Video Card:
Your choice is great (I am drooling).
If you do intend to overclock, let the system break in and make sure it runs stable for about a month. Mean while, do a lot of research on overclocking. The following links are good starters:
http://forums.anandtech.com/messageview.aspx?catid=28&threadid=1497607&enterthread=y
http://forums.extremeoverclocking.com/showthread.php?t=107925
I recently build my first system and overclock it. It is a great experience. Have fun and good luck.
Nowi