You should monitor your CPU and video card usage and see which is higher. For example, if your CPU is working at 80-100% and your video card is only at 50%, upgrade the CPU first. What do you use this PC for?
The answer depends what you want to do with your computer. If its gaming you are doing then a decent video card will make the biggest difference but if you are into multimedia editing then I would change the processor. Even with gaming the best video card will depend on the resolution you will be running at but also be aware that powerful video cards use a lot of power (a 9400 is not what I would call a powerful video card) so you may get into a situation where your existing power supply may not have enough juice to handle a better card. I would usually suggest a power supply rated at around 500-550W for systems that will be running one decent graphics card(e.g. a GTX460 uses ~ 200-250W under load) so if your existing power supply is anything less than 450W you are probably going to be in trouble. In terms of a processor upgrade a 955 Phenom 2 would give you a decent all round boost. Your MB is pretty basic so don't spend a ton of money expecting to be able to overclock like crazy. 3 GB of ram is a bit unusual. Usually 2 x 2GB would probably work better - esp if you are running a 64 bit version of either Windows 7 or Vista. Good luck