MSI Megas are very decent, esp if you like the look and added functionality. They do a SktA version don't they? If not I'd avoid them simply due to the cost of the P4 versions (and the dire perf of the Celeron). I would also side with the Shuttle, SN45G should be very good from what I hear, I use the SN41G2 firstly because it's prettier (prettiest IMHO) and secondly because it offers GF4MX-IGP onboard which though low powered for modern gaming is VERY cost effective ... and it's surprising how much is playable (a LOT). Rem if primarily displaying on a TV you don't need max details (esp textures), high res and forget about AA+AF ... a lot of the newer gfx cards are largely wasted. So you could go SN45G and stick in a fine card like the Rad9600PRO ... fast, o/c'able, cool running and low power consumption. AIW version is fine too, obviously 9800 series is VERY powerful but may be a little hungry and toasty (though will certainly work). Otherwise you could go the SN41G2 and try the IGP, there's always a gfx card slot if find you want more.
As for the CPU the Durons are mighty fine and cool running, otherwise a low clocked AthlonXP would be good. Both of these should use only 1.50v stock which should be enough to o/c to 2.0ghz+ should you wish. The reduced voltage will help them run very cool. I'd suggest the Duron 1.6ghz 266FSB, always 1.50v (AFAIK) and you could stick it up to 333FSB and enjoy 2.0ghz (roughly XP2200+) which is outstanding perf for the price. If you're using IGP then definitely get two sticks of 256MB PC3200. If you don't use IGP (SN45G?) then you can still get 2 sticks and enjoy the small boost SktA Dual Channel offers, you would only need RAM equal to FSB but considering pricing you might as well grab PC3200.
I wouldn't rec WD, they're too noisy and generally pretty hot ... I think they're still enjoying the rep they got for being the first 8MB cache drives. I'd rec Maxtor with Seagate and Hitachi close behind, don't worry about 8MB unless it costs very little extra. I also rec a DVD Burner, IMHO NEC but they all seem good now.
If this isn't your main rig consider getting into WiFi and/or a router in order to share files and the Internet connection. You wouldn't even need a large HD then, just access your main rigs HD where you could store all your media files. That's how I do it, see here ...
XP2500+ (@ XP3200+) 512MB Rad9700PRO HD1=160GB (OS, games & apps) HD2=120GB (downloads & media) and finally Router (sharing BB Internet)
Duron 1.6ghz 256MB GF4MX-IGP HD=80GB (OS, games & apps)