If cost is a major concern, do the graphic card first. The quad core Athlon will limp along fine for now with a faster graphics card. That will make the biggest improvement for the money. Gaming is mainly about the graphics card.
agreed, the most notable improvements for your rig will be installing a new GPU for gaming performance or adding an ssd to load OS/programs from for a more responsivness. Then I would say if your not satisfied, PSU which will give you more room for upgrading, chipset and CPU for overall performance, then better cooling/more hdd space.