Going through newegg.com you can find a nice setup with good overclocking potential from between $475 to $600 depending on the parts you choose.
For a minimal config.
$70
Pentium D e2160 1.8Ghz Allendale O'c to 3Ghz easily
$67
Gigabyte GA-G31M Motherboard Good O'c Option and Reviews
$165
GeForce 9600GT
$40
2GB DDR2 800
$61
Case with PSU 400W
$46
160GB HD
$26
CD/DVD Burner
$475
Better, PSU, Cooling, CPU, and storage
$125
Core 2 Duo e4500 Allendale 2.2Ghz O'c to 3.2Ghz easily
$27
CPU Cooler
$6
Arctic Silver 5
$67
Gigabyte GA-G31M Motherboard Good O'c Option and Reviews
$165
GeForce 9600GT
$40
2GB DDR2 800
$25
Cheapo Case
$45
500W Power Supply
$70
320GB HD
$26
CD/DVD Burner
$596
Although you can probably skimp by with the 400W powersupply I would say to get the cheap case and 500W PSU. As for the CPU even clocked at the same speed the Core 2 Duo gets better gaming performance than the Pentium D probably because of the higher L2 cache since they are both based on the Allendale design. As for the CPU cooler you can overclock some without an aftermarket cooler but it does make you CPU run cooler and increases the overclock potential.
The motherboard is pretty skimpy on features, no SLI, 2 RAM slots, no firewire I chose it since it is cheap and has good overclocking features and the northbridge goes to 1333mhz FSB so you can overclock the CPU without overclocking other components; the CPU's listed are made for 800mhz FSB so that is a potential 67% O'C without affecting other components assuming the CPU can handle it

. Due to the lack of RAM slots you may want to go to 4GB instead of 2GB.
Edit: These price are before Shipping and Handling and I am assuming you already have a keyboard, mouse, monitor and a copy of Windows.