CASE: CoolerMaster Centurion 590 RC-590 Mid-Tower 420W Case
CPU: (Sckt775)Intel® Core™ 2 Duo E8400 CPU @ 3.0GHz 1333FSB 6MB L2 Cache 64-bit
MOTHERBOARD: MSI P35 Neo2-FR Intel P35 CrossFire Chipset LGA775 FSB1333 DDR2/800 Mainboard w/GbLAN, USB2.0, & 7.1Audio
VIDEO CARD: ATI Radeon HD 4870 PCI-E x16 512MB DDR5 Video Card (Major Brand Powered by ATI)
CPU COOLING: CoolerMaster Hyper TX2 Gaming CPU Cooling Fan

Are these some good choices for a solid cheap build? Would it be worth the money to upgrade any of them?

what is ur RAM?? get good quality DDR2-1066 RAM if u wanna overclock ur processor.. Also, whats ur HDD?? There are a lot of really fast new HDDs on the market.. Like Samsung spinpoint F1 or the Seagate 7200.11 series (with 32mb cache).. Or for even better performance, Velociraptor!!

Thats a good build
Also for RAM i say go for a DDR2 800 RAM with 4-4-4-x or lower timings because the difference between DDR2 800 and 1066 isn't much and
DDR2 800 OCs very good too

also for HDD, go for a 7200RPM HDD with 16MB or more cache

i agree with Maziar you dont need ddr2-1066. and the seagate 7200.11 is a great hard drive. i have the 250gb and i love it.