Here's my opinions:
If I had the money, I would get Penty, but AMD are pretty fast for what you probably want to do, and at a cheaper price. I've NEVER had a problem with either chip types.
I can't remember if this is AMD ATHLON XP vs INTEL PENT 4, but I think it is: Penty's have DOUBLE the cache. This means that if you compared two processors @ 3Ghz exactly, the penty can process twice the data that the AMD can in the same time - they are still processed at the same speed, just one has biger processing capacity.
Mainboard: These days I am happy with GIGABYTE mainboards. They have been doing me proud and got great support for when I requried. Of course, go for a MEDIUM grade board at least (ones that cost £70ish.. the £30ish ones aren't great). The good ol' names like Asus are now making boards for major overclocking etc... but you can find some nice ones still for everyday use.
Memory: Crucial yes, in fact any registered memory. I would also go for DDR 333 (make sure board supports) over 400 because of the cost/speed difference (it aint worth 400 IMO..). Also I would go for a better CL - 2.5 is normal DDR, try going for 2 for a better performace (will increase price).
Graphics: Well, I've been happy with my ATI 8500 for a while now. One day I'll have to upgrade, but this is perfect. I now prefer ATI over NVIDIA (various reasons, mainly company ethics). I would look at getting the same manufactured GFX board as MAINBOARD... it really doesn't matter but I like compatibility.
Sound: Onboard. What else do you really need? My onboard has 5.1, optical etc etc.
CD etc etc: Well, DVD Writers are only £60 now.
I think thats all you need to know for now. Oh, the AMD BOXED CPU'S come with a heatsink and fan. These are usually crap if you are really stressing your system. Cooling is everything! Make sure your case has a lot of space if you are getting a BIG cpu.