PCI Express and AGP vid cards are pretty much the same speed right now because memory access across either bus is still so much slower than memory right on the card. Nvidia is doing stuff with SLI setups and 2 PCI Express slots so you can use 2 vid cards working together just like the old 3dfx voodoo2 cards, but that's a bit extreme even for gaming whackos.
PCI-X is fairly new, and cards only started hitting the streets with them in 2004. There was a big stink about it because the first PCI-X cards were really built with AGP interfaces and a bridge to the PCI-X format, but in practice that didn't seem to affect performance much at all.
PCI-X will probably benefit integrated and low-end graphics more than anything else. What PCI-X does for a gamer however is move the bus up to the next tech generation just like we saw when PCI replaced the old ISA bus. It will mean more over time than it does now.
Right now however, switching to PCI-X is simply a matter of deciding to look for the harder to find PCI-X motherboards and video cards when you make your next upgrade. There's nothing wrong at all with going to PCI-X right now except that it'll probably cost a bit more in the short term. But then you'd be able to put next year's video cards into your computer without having to hope nvidia and ATI build AGP versions, or without having to upgrade the mobo at the same time. I personally decided I'd get the best of what is probably the last generation of AGP stuff and save a bit right now, and then when I upgrade I'll wait as long as possible then upgrade everything again.
Right now it's not THAT MUCH faster, but there are still a few good reasons to go to SATA. First, it's faster and the standard has room for improvement. Second, the cables are much thinner and easier to work with. Third, there is something called "NCQ" that the newest Intel mobos support, that supposedly can dramatically improve hard drive performance. Fourth, Parallel ATA (EIDE, etc) is on the way out, and eventually it'll be tough finding a motherboard that supports those hard drives. The transition will probably take a few years, but it'll happen just like the old MFM and RLL hard drives started disappearing with the old IBM AT 15-20 years ago when the drive controllers started being integrated into the drives and motherboards.