Now this is just my opinion. It looks like you're trying to go all out without spending a large amount of money and you are into gaming. First, I would get the Winchester core instead of Newcastle for the CPU. It's about the same price, literally and better:
AMD Athlon 64 3200+ Winchester Integrated into Chip FSB 512KB L2 Cache Socket 939 Processor
http://www2.newegg.com/Product/Product.asp?Item=N82E16819103502
For the motherboard, go with a Socket 939 to go with that Winchester CPU and this one is about $20 more but an improvement over what you picked out:
ASUS A8V DELUXE Socket 939 VIA K8T800 Pro ATX AMD Motherboard
http://www2.newegg.com/Product/Product.asp?Item=N82E16813131510
As for RAM, the more, the better. Especially if you are into gaming. This may be pricey, but you get what you pay (only $35 more than your original link). Dual channel, (2x512MB):
CORSAIR XMS 1GB (2 x 512MB) 184-Pin DDR SDRAM Unbuffered DDR 400 (PC 3200)
http://www2.newegg.com/Product/Product.asp?Item=N82E16820145450
Power supply is fine as well as the heatsink/fan combo. Although I would try out the stock one first before getting an aftermarket one. You'll be surprised how efficient it is. I OCed mine quite a bit and running 30 degrees C right now.
Overall, you're spending about $60 more, but look at the parts you're getting. A better deal for the price. Next, we'll talk about video card.