Also, to the other part of your post. You say you wish to use a lot of processor intensive stuff on this, such as games. It will most likely not be worth the hassle of upgrading this system for such tasks. I should know, I'm running a similar system to you, an old Socket 423 p4 1.5ghz system with only 256mb RDRAM.
The hassle of trying to upgrade this system is more than it's worth, especially for the prices. A far simpler thing, in my opinion, would be to use the case, power supply, video card (if it's a good one) Hard Drives, and other internal components, and upgrade the three main things. (Motherboard, CPU, RAM)
Such an upgrade wouldn't cost that much. If you want 64bit support for the new Windows version coming out soon, then it'd be a bit more, but I garantee you will find it a powerhorse compared to the system you would be upgrading, as well as having much room for further upgrades over the months and years you'd have it.
If you want to go for the 64bit support, this setup would be ideal for the penny-pincher:
$55 Dollar Socket 775 Motherboard
$81 Dollar 2.53ghz Celeron Processor with 64bit Support
$81 1gb (2x512mb) DDR-400 RAM
Total: $216 Dollars ($224 with cost of shipping included)
You could go even cheaper, if you didn't go with 64bit support, but at this point in time, I find it a bit pointless to upgrade if you're not going for a 64bit processor.
$23 Dollar Socket 478 Motherboard
$72 Dollar 2.53ghz Celeron without 64bit Support
$81 RAM (same as above)
Total: $176 Dollars ($187 with cost of shipping)
If you went for the 64bit one, then, as I said, it could be upgraded even further over time, as soon socket 775 processors are going to be coming down in price by quite a bit, which means you could go for a 3.0 or 3.2ghz P4 for around $100-120 Dollars, within the next year, as well as getting a high-end video card for the games and graphics programs, and still having plenty of room to upgrade after that.
I know this might not be what you were wanting to hear from here, but I thought I should put it out there, considering what you're wanting from the upgrades you're asking about. It is my honest opinion that anyone using a 423 pin P4 and/or has a computer using over-expensive RDRAM, should be upgrading about now if they want anything serious from their computers.