You've gotten some good advice so far, but make no mistake--PC gaming is much more expensive than console gaming. Blockbuster games are usually as the same amount of money on each platform, but PC hardware costs much more (and consequentially, is capable of more).
In April 2009, I built the following system for roughly $1400:
i7-920, EVGA Mobo, V8 cooler, 6GB ram, Radeon HD 4870, 2x WD HDs in Raid 0, 750w Corsair PSU, Vista 64, and a Lian Li case.
Since then, I have replaced the cooler, doubled the ram, replaced the GPU twice (once to a 460, now to a 570 that's in the mail), added an SSD, swapped the PSU for a modular one, swapped the case, upgraded to Win7, and gotten a better keyboard/mouse/headphones.
Some of the stuff I have sold to recoup the money (a new GTX 570 @ $315 minus $120 for my old 460 is only a net cost of $195), and other stuff I have moved into other computers around the house (the wife's, HTPC, etc.).
Bottom line? It's more money, but the satisfaction factor is higher (you built in!), and you learn more every time you build a new one.