I wouldn't get the 3500. It's 400MHz faster than the 3000 with no additional cache for $80 more. If you want your PC to last, put that $80 in a savings account and use it to buy an FX55/57 or X2 dual core, which will work on NForce4 Ultra boards such as the one you are purchasing. If a game won't run on a 3000, it won't run on a 3500 either. Otherwise, if you want a performance increase that's actually significant, go with the 3700 since it's not much more than the 3500, and has 1M cache.
I wouldn't recommend that either. Just get the 3000, and pop on a badboy CPU next year. :-)
Speaking of motherboards, I don't have personal experience with that particular motherboard, but after browsing a few forums, that board has been particularly problematic, so I'd go with something else such as...
http://www.newegg.com/Product/Product.asp?Item=N82E16813136163
Yes, onboard sound is sufficient for the majority.
For the monitor, I'd go Samsung. Shouldn't be much more, and they have the same LCD quality (actually better) as Sony.
That PSU is horrible. Amps on it, while rated highly on the label, are on par with an Antec 350W on the 12V rail. Go with something else such as...
http://www.newegg.com/Product/Product.asp?Item=N82E16817153007
Just FYI, the bass on the X-530's is overbearing over the midrange and treble. If you like that kind of sound, and most people do, they're fine. However, if you want good balanced sound, go with the 5300e's.
One last comment about newegg.com, I HIGHLY recommend you price out each component at www.zipzoomfly.com as well. Last time I ordered equipment for my father's upgrade to Athlon 64, zipzoomfly was over $50 cheaper for the same motherboard, CPU, fan, and hard drive. Zipzoomfly has service on par with newegg. They take longer to ship something by a day (whoopty do), but they usually ship it for free (watch the shipping costs on newegg comparably, and that is often what makes zipzoomfly cheaper), and they use 2 day UPS (lol, which = 3 day fed ex, since fed ex usually delivers early). Bottom line is you may end up paying significantly less for the same components, and get your stuff in the same amount of time. It's now a crapshoot which is cheaper, or they're the same. But that's twice now zipzoomfly came out significantly cheaper than newegg for me (used to be NEVER!).
"If that [soiled bed] sheet is a [holy] manifestation, then I'm working on a miracle in my Jockey's!"