For gaming, even though you think it is too expensive, go for the E6750 instead of the E4500. It is $190 instead of $125, but you can get the less expensive Gigabyte DS3L http://www.newegg.com/Product/Product.aspx?Item=N82E16813128059&Tpk=GIGABYTE%2bGA-P35-DS3L to compensate. If you don't overclock, the stock fan works for this cpu. Otherwise, a Zalman 9500 would be a good cooler.
The video card is the most important part for gaming performance, and the 8800GT's are definitely the best value right now. The MSI has the faster clock, so it should outperform the eVGA.
4GB RAM is not very useful except for people who run virtualization, so stick with 2GB and save some money.
I would choose Samsung hard drives for their quiet operation: http://www.newegg.com/Product/Product.aspx?Item=N82E16822152052
I never heard of the brand of power supply suggested, but don't go cheap here - if you get a good, efficient, and reliable power supply now, you won't need to replace it for several years, which would make it the longest lasting component in a PC. I like Seasonic's efficiency rating and high current output: http://www.newegg.com/Product/Product.aspx?Item=N82E16817151028
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