I prefer to use Crucial memory personally, but Kingston is a top brand - good marks. And low-latency RAM is a good thing. Don't skimp on the CPU cooler - make sure you get a good one. I use Alpha Novatech personally for their heatsink cooling solutions and Arctic Silver's Ceramique for thermal conductive material. Ceramique is completely inert and non-conductive and won't put your CPU at risk if you get some on the exterior CPU components when applying it. Also, I recommend a CPU spacer. Keeps the heatsink level on the chip and helps prevent excessive pressure to minimize the risk of damaging it.
I also agree, PC Power and Cooling for the power supplies - I use these in all my PC's and the one's I've built for other people. Asus is a great motherboard manufacturer - both my PC's have Asus boards. If you feel comfortable, you can probably upgrade the heatink/fan on the northbridge since they get pretty hot. Only if you feel comfortable doing it though - it's not necessary.
I've been very happy with my Audigy2 soundcard and Western Digital hard drives, but again it boils down to preference.
If you're purchasing a 64-bit CPU, might as well get Windows XP 64-bit as well. Otherwise there's not much benefit to running a 64-bit processor.
Also, get a case that doesn't take a physicist to disassemble or manipulate. You'll thank yourself later. And SATA hard drives are the way to go.
