THG has a regular series of "System Builder Marathon" articles at various price points. The site also runs regular articles about "Best Video Cards at different price points. Look at those.
My general recommendations:
Video card - ATI 4850
HD - 640 GB Western Digital
DVD burner - Samsung S-203 or whatever "S" model they are selling now.
No OC - stock HSF is OK
Moderate OC - Arctic Cooling Freezer 7 Pro
Full OC - Xigmatek HDT S-1283. If you get one of these, get the mounting plate.
Case? Very much an individual decision.
I didn't specify brand of video card. Sales, specials, and rebates may affect your decision.