With that kind of budget you can literally almost get the best of everything. Are you in a big hurry to buy? If not, I'd wait until January when ATI is suppose to release the R600, that way, there will be some DX10 competition.
I'm going to assume that since this is the first time you are putting a computer together that you will not overclock.
CPU: Since you are building from scratch, the Intel Core 2 Duo or C2D as everyone likes to call it is the way to go.
I'd recommend getting the E6600 for $312. You could afford the X6800 which is the best at $970 but I think it'd be better to spend the money on the 8800GTX at the moment.
Speakers: Anywhere between $50 and several hundred dollars here. Look at klipsch, Logitech or Altec Lansing.
Video Card: Quite simply the 8800GTX is the fastest card out there and you'll have DX10 support. $649 at zipzoomfly. Newegg is charging a premium at the moment. Some come bundled with a video game. Pick the one that comes with the game you like. If there are none you like then get the BFG or eVGA model.
Mobo: Lot of mobos over $200 but the ASUS P5B-E is around $160 and I think it will suit your needs. If not, check out the other P5B models and decide from there. If you plan on oc'ing, then the 680i is the way to go.
Here.
Memory: Crucial 10th Anniversary 2x1GB sticks. $240. The assumption of no overclocking applies here. Heck, even if you plan on OC'ing, this RAM is a VERY GOOD overclocker.
HDD: Seagate Barracuda 7200.10 320GB perpendicular drives - $95. Get 2 of them.
Monitor: Either the Dell UltraSharp 2407WFP Black 24" LCD Monitor ($712 - maybe better deal on Ebay?) or the Dell UltraSharp 3007WFP Black 30" LCD Monitor (~$1400). If you have the money, the 30" would be one sweet monitor.
Sound Card: Audigy2 ZS Platinum - $90 after MIR.
Case: Lian Li B-20B - $200, Antec P180B - $120, Antec Nine Hundred - $156. Check out other Lian Li cases.
Just make sure the 8800GTX will fit. You may need to step up to a full tower case.
PSU: I like the HIPER 580W PSU because of it's molex cables. The 580W PSU will handle the 8800GTX but not in SLI mode. But look at Enermax, Thermaltake, Antec, FSP Group, Seasonic, or OCZ. Make sure you get a minimum of 18 amps per 12V line (or rail as others would say). You need two 12V connectors to the 8800GTX. Requirements are a total of 30A adding the 2 lines together. Though this can be deceiving as each line might be 15 each but the volts going through both has a maximum and the amps might not be 30 total at peak voltage. To have 30 A max would require 2x15Ax12V(rail) = 360W total supplied to the 2 rails. This will meet your minimum requirements.
But I like to play it safe. Get 18A on each rail.
OS:MS XP Pro: ~$150.
Assuming 24" monitor, $310 for case & PSU, $80 speakers, this build is around ~$2900.
As you can see, you can afford the X6800 if you want it. You can get better speakers, a nice mouse (MX580) and keyboard.
Pretty much, the sky's the limit.