For the video card, I was thinking of going with nVidia but its expensive.. What I'm looking for in a video card is playing games like Combat Arms, Counter-Strike etc..
OS: I'd like windows vista 64bit home premium, ill probably get that at costco =P
At your price point, Intel and Nvidia are simply not competitive, the GPU and CPU suggested by build will destroy the E5200 with a similarly priced Nvidia card, the GTS 250.
That gives you a nice case and hard drive, an adequate PSU capable of handling a video card upgrade, and a CPU and motherboard that are adequate. The motherboard can take a better CPU when you can afford one.
You do not need a CPU cooler to start. The cooler that ships with the CPU is OK.