First time build $500 or less

you might want to upgrade the power supply, but other than that for the money you are spending it looks good.

Your RAM is not compatible with your motherboard. The motherboard you listed requires DDR2 RAM. Here's a complete build that comes in right around your budget:

AMD Athlon II X4 620 Propus 2.6GHz 4 x 512KB L2 Cache Socket AM3 95W Quad-Core Processor - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168...

XFX HD-467X-ZDF2 Radeon HD 4670 1GB 128-bit DDR2 PCI Express 2.0 x16 HDCP Ready Video Card - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168...

http://www.newegg.com/Product/ComboDealDetails.aspx?Ite... $150.98 (CPU + GPU combo)

GIGABYTE GA-MA770T-UD3P AM3 AMD 770 ATX AMD Motherboard - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $79.99 - $10.00 MIR

G.SKILL Ripjaws Series 4GB (2 x 2GB) 240-Pin DDR3 SDRAM DDR3 1600 (PC3 12800) Desktop Memory Model F3-12800CL9D-4GBRL - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $84.99

SAMSUNG Spinpoint F3 HD502HJ 500GB 7200 RPM 16MB Cache SATA 3.0Gb/s 3.5" Internal Hard Drive - OEM
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $54.99

The HD you listed is a very old, slow model. This HD is MUCH faster.

LG Black 24X SATA DVD Burner
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $27.99

Antec Three Hundred Black Steel ATX Mid Tower Computer Case - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $51.99 w/promo code EMCYZNT57 (also currently has free shipping)

CORSAIR CMPSU-400CX 400W ATX12V V2.2 80 PLUS Certified Compatible with Core i7 Power Supply - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $54.99 - $10.00 MIR

Total - $505.92 - $20.00 MIR's

What is your monitor's resolution? For not much more, you may find that a HD4770 provides notably better performance.
Good PSU choice.
Coolermaster cases have earned a rare spot on my personal "do not buy" list. I think every one I ever bought had minor quality issues. None couldn't be readily fixed, but I've never had a problem with any cheap Rosewill case I ever bought, so they're now my choice at the low end. That may drop another $10 or so from your price too.
I know you're trying to be cheap, but a 500GB Samsung Spinpoint F3 drive will probably be worth another $15 for the improved performance.

I agree that we need to know what your monitor resolution is to make a good GPU suggestion. A dual core CPU with a faster clock speed would probably be better for gaming since it would allow you to upgrade the GPU which is more important to a gaming PC. Here's another build that comes in slightly over budget, but has a much better GPU:

AMD Athlon II X2 240 Regor 2.8GHz 2 x 1MB L2 Cache Socket AM3 65W Dual-Core Processor - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168...

Antec Three Hundred Black Steel ATX Mid Tower Computer Case - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168...

http://www.newegg.com/Product/ComboDealDetails.aspx?Ite... $93.98 (CPU + Case combo w/promo code EMCYZNT57 for the case)

GIGABYTE GA-MA770T-UD3P AM3 AMD 770 ATX AMD Motherboard - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $79.99 - $10.00 MIR

G.SKILL Ripjaws Series 4GB (2 x 2GB) 240-Pin DDR3 SDRAM DDR3 1600 (PC3 12800) Desktop Memory Model F3-12800CL9D-4GBRL - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $84.99

SAMSUNG Spinpoint F3 HD502HJ 500GB 7200 RPM 16MB Cache SATA 3.0Gb/s 3.5" Internal Hard Drive - OEM
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $54.99

LG Black 24X SATA DVD Burner
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $27.99

CORSAIR CMPSU-400CX 400W ATX12V V2.2 80 PLUS Certified Compatible with Core i7 Power Supply - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $54.99 - $10.00 MIR

POWERCOLOR AX5750 512MD5-H Radeon HD 5750 512MB 128-bit GDDR5 PCI Express 2.1 x16 HDCP Ready CrossFireX Support Video Card - Retail
http://www.newegg.com/Product/Product.aspx?Item=N82E168... $129.99

Total - $526.92 - $20.00 MIR's

My monitor resolution is 1920x1080

Hmmm, that high you may not find a HD4670 adequate.
You're in a tough spot as far as CPU vs. GPU weighting. I found that a 4850e bottlenecks a HD4670 on Guild Wars at 1440x900, and the X2 240 Regor is only one tier higher on the gaming CPU chart. A X3 425 for $72 is probably the lowest I'd go on the CPU. For the GPU, a HD4770 or HD5750 may work well enough, especially if you lower a few settings. You can use that 400W Corsair with either of those. About the only place I see to cut, and it isn't much, is the case. A cheap Rosewill can be had for about $30.