I'm a semi-avid gamer, and I find that I update my I/O equipment the most frequently. This includes the video card, monitor, mouse, keyboard, soundcard, speakers and any other device you might prefer (like a joystick). Your processor will hold up for some time, but memory is still really cheap so that's not a bad upgrade. If money is an issue, you can't beat memory for a dirt cheap upgrade. If money isn't so much an issue, figure out what brings you the most joy (stunning 3D sound, 1024x768 32-bit 30 fps video, whatever) and buy the gear that matches.

As for what you upgrade with, go to the experts. Try anandtech.com or tomshardware.com and do your research. I've never been turned in the wrong direction by either site, and a minimum of research means the difference between hardware you'll replace in a year vs. two or three years.