FWIW, if buying a whole computer from scratch it too daunting (of you just want a smaller case), you may want to consider Shuttle 'barebones' systems. They are so-called "XPCs", which are much smaller than regular PCs - toaster size, basically. That's always been a huge selling point for me, but I live in a rather tiny condo in the city.
Anyway, I'll vote for Newegg, too, great customer service (better than Best Buy by a long shot), and great prices. Ships FAST, too.
And they carry XPCs.
That will get you the case, cooling, power supply, and mobo. All you need is a CPU, ram, video card, and disk drives.
As to "buy ATI for HDR+AA"...first off, I'm an ATI guy. I like ATI cards. That said, the brand-spankin-new GeForce 8600GTS (released literally YESTERDAY) has better price-to-performance than ATI's offerings at the moment. And the 8-series GeForce cards can also do HDR+AA.
If I were building a system today (wish I was, but I'm not), it would like something like this:
$270 Shuttle SD32G2
$139 Intel Core 2 E4300
$154 2gb OCZ PC2 5400 ram
$200 eVGA GeForce 8600GTS
$75 Seagate Barracuda 250gb SATA hdd
$26 Silver CDRW/DVD drive
$90 Windows XP SP2 OEM (still too many problems with Vista for my taste)
----
$954
And that's everything - whole new system. EASY to assemble, and the Shuttle kit comes with a fold-out full color flyer with all the steps needed. Only caveat is that I can't speak to the color of the CD drive matching the case. Shuttle USED to make a silver CDRW/DVD driver that perfectly matched their cases colors, but...can't seem to find one, now.