The biggest issue for my last build was
HEAT . The Intel mobo I got has 3 sensors and a program to monitor those sensors. I did not overclock it.
First I had to replace the stock CPU fan (P4 Northwood) with a Zalman 9700. The stock one could not dissipate the heat generated by the CPU fast enough when I played any 3D game, and the temp soared to 70C quickly.
Then, I found that the memory was also overheating quickly. So I added heat spreaders, which helped a little, and then rigged another case fan to blow directly on the memory.
I have not had any issues with the ATI X800XT card. However, the newer ones generate lots of heat. Reading the reviews on NewEgg, I see that picking one with good cooling fan(s) is important, and you may need to run a program to adjust the fan speed.
I am about to build a new computer and will be taking care to ensure everything is air-cooled well as quietly as possible. Games will max out all the components.