That's a decent build. You can do a little nit-picking about individual things, but I don't think there's anything wrong with any of it ... except for the PSU. Fortron makes good PSUs, but their cheap ones aren't the same as they used to be. The Blue Storms just seem to be significantly higher quality than the cheaper Fortrons these days. If you don't want to spend the extra for a Blue Storm, get the XClio. As far as a $40 PSU, you can't compete with the XClio.
The thing is, I just don't see any single-core 939 system being anything exciting for the budget-conscious.
You say you're playing a lot of HL2 games ... How long are you planning on keeping this rig before you upgrade it? What's your current rig?
Currently, I'd say that as far as budget systems (that is, not considering AM2), either you have the cash to drop on a 939 dual-core system or you should just stick to a Sempron 64. The Venice just doesn't have that much more balls to it than one of the Sempron 64s with 256K cache.
As far as the DVD-RW, you should really pay the extra $1 to get either a Pioneer or NEC drive. They both have excellent burn quality. Most people will say to get the NEC because of a ridiculous bitsetting feature that you will never use (it's only useful for compatibility with ancient DVD players, and it requires a firmware hack to use). I'd go with the Pioneer because they rip DVDs a little faster (especially DVD-Rs).
I understand that maybe you only need an 80GB hard drive, but $20 will get you a SATA drive with twice the capacity, an 8MB cache and a 3-year warranty. You have to be able to get something to give.
The Logitech keyboard/mouse combo is more than $10 cheaper than getting that Rosewill keyboard and Logitech mouse separately. Newegg has it, but with shipping ZZF is about $1.50 cheaper.
Your current build is:
CPU: AMD Venice 3500+
$139 (newegg)
mainboard: ASUS A8N5X Socket 939
$81.66 (newegg)
video: eVGA GeForce 7600GS 256
$115.45 (newegg)
HDD: Western Digital 80GB IDE WD800BB
$49.95 (newegg)
RAM: Corsair 2 x 512MB DDR400
$86.98 (newegg)
CD: Samsung black 16X DVD+/-R
$40.45 (newegg)
w. adapter: Zonet 802.11g PCI adapter
$24.98 (newegg)
case: Xion Solaris XON-406
$50.6 (newegg)
PSU: Fortron 400W
$50.19 (newegg)
input: Rosewill black keyboard
$15.66 (newegg)
input: Logitech black optical mouse
$16.98 (newegg)
LCD: Hanns-G 17" 1280x1024, 270 cd/m2, 500:1, 12ms, speakers
$169.71 (newegg)
That's $841.61 delivered.
You've got some rebates in there that you just might get in 6-8 months, but the bottom line is that you're spending over $800 for a system with 1 GB and an 80 GB hard drive, and you're just squeezing things a little too tight to fit that Venice 3500 in there. It's simply not worth getting a trashy generic keyboard or monitor just to spend a little more on your CPU. Anytime you're not actually playing a game, the only thing you're really even going to notice is what keyboard/monitor you have and if you have enough RAM that you're not hitting the swapfile.
What I would build would be more like:
CPU: AMD Sempron 64 2800 Retail
$69.99 (newegg)
mainboard: MSI K8N NEO3-F
$65.45 (newegg)
video: eVGA GeForce 7600GS 256
$115.45 (newegg)
HDD: Western Digital 160GB SATA WD1600JS
$69.5 (ZipZoomFly)
RAM: Corsair 1 x 1024MB DDR400
$80.4 (ZipZoomFly)
CD: Pioneer DVR-111D black DVD-R
$41.45 (newegg)
w. adapter: Zonet 802.11g PCI adapter
$24.98 (newegg)
case: Xion Solaris XON-406
$50.6 (newegg)
PSU: Xclio 450BL
$50.36 (newegg)
input: Logitech black keyboard, mouse
$19.99 (ZipZoomFly)
LCD: Hanns-G 19" 1280x1024, 250 cd/m2, 700:1, 8ms, speakers
$209.8 (newegg)
That's $797.97 delivered with a bigger monitor. If you want to get everything from NewEgg, it's only $7 more. I guess if you don't care about the monitor, you should keep the 17" and bump the RAM up to 2 GB. The Patriot 2GB kit is $1.60 cheaper than the Corsair, and it comes with head spreaders:
http://www.newegg.com/Product/Product.asp?Item=N82E16820220079
I'm sure there are better monitor suggestions out there, but I haven't really looked into 17" and 19" screens too much. Are you set on having the speakers in the monitor?
My main point is that unless you're doing some really hardcore CPU-intensive stuff, you're not going to notice the difference between the Venice and the Sempron, and even if you are doing hardcore CPU-intensive stuff, you might as well just overclock a Sempron anyway since you're concerned about budget.