Actually, the thing about games being massively GPU-limited is no longer true. I think there's a reasonable 50/50 balance nowadays.
What this means for you: I had a very similar rig to yours, and I would upgrade the CPU first. I had an E6400 overclocked to 3.2Ghz, and a 4870. That's not in E8400 territory since the latter has better IPC, but still comparable. I then kept the graphics card, but upgraded the CPU to an i5-760. Result = pretty massive improvement in almost all games.
Though truth be told... I think you should be looking at upgrade the whole box, but that's an expensive proposition