Once you get above a certain level (probably a decent dual-core CPU, 2 gigs of 1066+ DDR2 or better, etc), the limiting factor on most games shifts to the GPU. Which is why when upgrading, most of the time the better part to upgrade is the video card.
However if you're building a new system, then you need to consider what game requirements might be a year or two down the road.. If well-threaded multithreaded games suddenly become the norm (unlikely IMO), then more & faster CPU cores might become more of a factor.
Besides, with a decent dual-core, you can always oc if low framerates are the CPU's fault..
Your GPU, takes and renders and image to your screen, the better your gpu the higher the visual settings and faster the frames can render increaseing your frame rate.
Your cpu must do everything else, this includes physics, calculating environmental effects(gpu still renders them visually), calculating damage, keeping track of build times/ques, tracking all unit stats, path finding for units to calculate quickest way to move, all aspects of artificial intelligence, game timer, win/loss conditions, as you can see the list just goes on.