Buy everything from Newegg.com. Good prices, good service, very reliable, huge selection, and they are usually running a sweet deal that will save you some money on a few parts.
The things that really count, in order of importance are:
VIDEO CARD, CPU, Motherboard, Amount of RAM, Quality of RAM, Raid 0 configuration with decent Harddrives using Raid built INTO the Motherboard).
The above things are your house. Everything else is just decorations and furniture for the house. Case, Sound Card, Speakers, DVD drive, Monitor, etc....
This doesn't mean the other things aren't important and you shouldn't spend money on them, but they are NOT the things that can make or break your ability to play games but the first list is.
What always makes me sad is to see a pretty sweet system, 3ghz+/3000++ CPU, 1GB+ of good RAM, a solid MB, and insane sound system, massive harddrives in Raid 0, 19 inch LCD monitor, all of which cost like $1800 out of a $2000 budget.... and then a Radeon 9600XT video card...
What the Heck? That's like buying a Ferrari and then putting the most powerful V4 in the world in it. Yeah, it's a great engine, but it's still a V4, it should be in a street racing Civic or something. What the heck is it doing in a Ferrari?
Personally with $2000+ I would start (and did) by buying a 6800 Ultra or a x800XT-PE. Then I would get an Athlon 64 3500+ (which are under $300 now) and a good Abit Motherboard. Then I would get a GB of Ram and a couple harddrives (find special deals on both if possible at Newegg). Then it's pretty much a matter of spreading out your remaining budget to get the rest of the stuff you need.