It's a myth. There is however one thing that possibly factored in people thinking this way and that is nVidia's PR, Marketing and obviously hard work behind CUDA which led to it's acceptance in GPU dependent Industry. CUDA being both an architecture and a programming standard saw heavy optimization for it in applications and this lead to most people experiencing better results in renderings and gaming with nVidia then ATI gpu's.
ATI/AMD GPU's were as good but their OpenCL was not as popular with developers early on. Throw in the fact that Intel regained top place with core architecture, and it started to seem that Intel-nVidia was a better combo (simply because they were better than their respective direct competitors) an often quoted example is the effect of PHYSX engine in Borderlands vs non physx gpu.
All this has changed over the years and applications are seeing better optimization for both OpenCL and CUDA and it's become a more even play ground. and Though it was always a myth, but now its even clearer that either cpu/gpu combo will work well.
only thing you need to ensure is that for the resolution that you plan to play at at the settings of your choice, you cpu/gpu combo must be balanced enough and neither should hold back the other. a G645 will badly bottleneck a GTX 690, at 1080p while a core i7 3770 will get bored gaming with an HD 4650 at that res.
good luck
-satyam