Newegg for my personal parts.
I build systems at work for people, amongst other things. Newegg generally has their pc parts priced cheaper than our wholesalers do.
If you buy the parts yourself, you can easily get a dual core AMD budget gaming machine for less than $800 and still have quality parts. You can still buy Windows XP OEMs for it too if you don't want to mess with Vista yet.
Do Not buy a prefab for gaming unless you get a real sweat deal on an AMD machine. Since Intel, for obvious reasons, doesn't make motherboards for AMD - the manufacturers are forced to get halfway decent boards such as an Asus I saw recently in someone's new HP Vista system. Cheap Intel boards..
If you're uncomfortable messing with the stuff, you can check out custom build sites such as the one mentioned above or even check your area for Computer shops and do the same face-to-face.