Not so much on percentages.
For a gaming rig I would prioritize it in the following order:
1: GPU
2: PSU
3: CPU
4: MB
5: Every thing else
Your biggest boost is going to be with the graphics card. You should get the best you can afford. ATI's
3870 and 3870x2 are excellent choices as is any of the nVidia
8800/9x00 series with heavy preference towards the new G92/94 based boards.
The PSU should be the best quality you can find and afford. Remember that if a cheap PSU fails, it can take the whole system with it. See the
PSU sticky and the
Tiered PSU list to help you with your best choice.
You can generally make some sacrifices with the CPU, especially if you plan on overclocking. If you are on a tight budget, I would recomend an
AMD x2 5000+ BE. If you have a larger budget, an Intel
E8400 or
Q6600 would work great for you.
If you
are going to overclock, make sure and get an after market cooler. The
Turniq Tower,
Zalmin 9700,
Scythe Ninja and
Freezer 7 (if you are on a budget, I personally don't like the mounting) are all excellent choices.
I am sorry to say that I don't have to much experience with recent AMD MB's so I can not offer any recommendations on them as of now. On the Intel side, almost any modern MB will do. Anything based on the P35, x38 or x48 will treat you fine. If you have the budget and plan on using SLI (for nVidia cards) you will need a nForce 750i/780i/790i MB. Cross Fire (for ATI cards) will work on any of the Intel based MB's that have 2 16x PCIE slots. If you plan on going this rout, I would recommend an x38 or x48 MB as they have 2 full PCIE 2.0 16x lanes (very good). The brands that I would recommend you to chose from are ASUS and Gigabyte.
Memory is cheap. Don't worry about spending to much on anything faster than DDR2 as you will not see any real world increase. I can not recommend DDR3 at this time as it generally does not perform noticeably better than DDR2 and it costs a boat load more. The general rule of thumb with memory is that more is better.
As for the rest, get what you can afford. You could get away with the cheapest DVD/RW drive you can find (sATA is perferd) and same with the case (even though you won't...
Some of them are to ugly for words).
When it comes to hard drives, I prefer Western Digital but you should go for what ever is on sale.