Pretty much the whole thing to tell you the truth. Are you looking to upgrade just one or two things, or the whole shebang?
I'd go with a socket AM2+ motherboard and CPU, some DDR2 1066 memory, a GTX 260, and Vista. But then, that's just me.
I'm sure others would suggest going with an Intel Core i7 setup.
How much money are you looking to spend?
The only things you could really upgrade on that would be a bit more memory and maybe a better video card. The socket 939 systems have been faded out and the CPUs are getting hard to find anywhere other than on eBay.