Had to post to this thread as I'm a computer builder myself, like most MMO gamers these days.
Shop at newegg.com. Seriously. Just do it. It's the best.
As for motherboard, as people have been saying, Gigabyte boards are nice. If you're planning on using an Nvidia video card, think about getting a board with an Nvidia nforce north bridge since it'll help you get better results with your video card (though not by a whole lot). Something I would suggest looking into is DFI. If you want to OC, definately look into DFI.
Newegg.com - DFI BloodIron P35-T2RL LGA 775 Intel P35 ATX Intel Motherboard - Intel Motherboards - That board? Absolutely incredible and one of the best overclockers I've ever dealt with. It's also optimized for DDR2 800, which means you'll be spending at least $50 (if you're going with 2Gb of ram) cheaper than if you're going with DDR2 1066 or any DDR3 (Not worth going higher than DDR2 800 at this time as they lend a max of 1-3% increase in FPS for a good $100 or more on ram).
As for CPU, get the E8400. It can be OC'd to 3.6 on just about any machine without increasing the V, and can be increased to upwards of 4.2 on air cooling if you have a descent setup with an aftermarket CPU fan / heatsink. In a heavy load the CPU can get as high as 54c (Mind you this is at 4.2 Ghz, but you have to have a good case for airflow, which I recommend the Antec Nine Hundred) but if you're only going for a small OC, such as the 3.6Ghz, then you probably shouldn't get higher than 50c with the stock cooler. The E8400 is the best gaming CPU on the market for the price. The next best is a good $300 more.
Newegg.com - Intel Core 2 Duo E8400 Wolfdale 3.0GHz 6MB L2 Cache LGA 775 65W Dual-Core Processor - Processors - E8400.
If you have any more questions I'm willing to talk computer stuff at any time! It's a hobby of mine for a reason, I love it!
I highly recommend "SpeedFan" and "RivaTuner v2.09" to anyone currently overclocking or about to. Another thing to keep in mind is that video cards are rated for MUCH HIGHER temps than CPUs. Most even somewhat recent video cards can get as high as 80c, and maintained at that temp, and not get any issues. I'm currently using a 9800GTX (a mistake, btw, I don't recommend getting one. An 8800GT can be as good, and even better, with a slight overclock. And they have better drivers.) running at 870 / 2175 / 1300 stable at 70c when under a full load. For those of you who don't know much about video card oc'ing, that's a damn lot since stock is 675 / 1688 / 1100. RivaTuner is the best.
---
As an afterthought, if you're building a machine for Aion, nothing more than a 9600GT or an equivalent video card is necessary to run the game at max resolution, max setting across the board. You can probably achieve the same affect with an 8800GT, but I wouldn't want to chance it, the cards tend to run games poorly, and for about 30-40$ more you get a card three times better. SLI is not necessary in any stretch of the imagination to run Aion max across the board.
If you plan on playing games like Crysis, AoC or other system resource needy beasts, then SLI might be the thing for you. But unless you plan on playing one of those beasts SLI is a waste of money. My machine runs AoC on max settings, 8xQ AA, 1920 x 1200, all view distances maxed at 35-65 fps, the huge variation in FPS is due to 1, the graphics being pretty crazy, and 2, sub par programming. But I've only running a single video card and an E8400 at stock. I've yet to OC my CPU, I got this computer about a week ago and I'm still messing around with the settings.