1) In a powersupply its quality not wattage that matters. A 300 watt enermax is AMD approved up to XP2100+ while a 400 watt PRT is only approved up to an Athlon 950. Check AMD's list of approved powersupplies and check for the exact model number. I hear the enermax's are rather quiet which is always nice.
2) Get a good heatsink. I suggest also going by AMD's list of approved heatsinks for you processor. If you are an overclocker you may have no ignore the list as some of the larger heatsinks did not make the list because they weighted to much. If you are more concerned with noise than overclocking get a heatsink with a slower quieter fan. Some heatsink fans sound like a vacume cleaner! Also if you are worried about damaging your cpu while mounting the heatsink get a cpu spacer or shim, they are cheap and they could save you a lot of money.
3) Get quality memory! With memory you definately get what you pay for. A lot of the older PC2700 was tested on KT266a and is buggy under KT333. Just to be safe I would get Corsair PC3000, but run it at PC2700 with timming of 2,2,2 1T. PC 2700 CL2 is defined as 2,3,3 1T for some reason, there is handly any performance difference between 222 and 233 but then again there is not much difference between DDR 333 and DDR 370. Getting memory that is rated higher than you will using gives you an extra margin of error. With new motherboard revisions and JDECs revised PC2700 standard the problems people are having between KT333 and PC2700 will soon disapear.
4) I alway buy the cheapest video card that uses the chipset I want. Currently I have a EVGA Geforce 2 MX PCI and a PNY Geforce 4 Ti4400 and have had no promblems with either.
5) I have always used Asus motherboards, but might purchase an MSI next time. MSI is cheaper and many people claim that they are more stable.
6) Integrated Audio is much better than it used to be. I recently put together a Soyo Dragon Plus system and the onboard Cmedia 5.1 channel sound card really impressed me. It was just as good as my Soundblaster live 5.1 and had an optical out! I did not get a chance to test its EAX capabilities.