1. psu always and forever. It's the heart of your system.
2. Video card. It's the muscle.
3. Motherboard. Think of it as your nervous system
4. cpu. The brain
5. Case - the skeleton
6. Hard drive
7. RAM
8. everything else
Never skimp on the psu. I could almost put the motherboard in the #2 spot because if you get a cheap one, you will suffer reliability issues, and can hinder any one part at any time. Pretty much everything inside the case hooks to the psu and motherboard. The video card is obviously the most important for determining gaming performance. The cpu also affects gaming performance to a lesser degree.