first of all your buying an intel processor which would be your first mistake. statistics show that AMD CPU's are much better for gaming, and in my experience id have to agree with the stats.
second, you dont need a dual core processor. no game will most likely ever use both cores. games have yet take advantage of 64bit technology, nevermind multiple cores. the 2.66GHZ Intel goes for 300+. My CPU is overcocked at 2.6GHZ the same as that one, and goes for $200 less.
I recommend an ASUS mobo and an AMD CPU single core CPU to save money. What you want is RAM and a very nice video card. Those are key to making a good gaming PC. And if you get the right AMD CPU you can overclock one to very nice speeds if you have efficient cooling which is cheap.
Here is what i recommend:
http://www.newegg.com/Product/Product.aspx?Item=N82E16819103047
http://www.newegg.com/Product/Product.aspx?Item=N82E16813131011
http://www.newegg.com/Product/Product.aspx?Item=N82E16813131163
2GB of RAM and your favorite video card. Be prepared to spend at least 250$ on a good video card.