The cheapest upgrade would be to buy another gig of ram.
A new cpu may require a new operating system to be installed. Windows doesnt like major component changes detects it as a new system Depends if you have a retail version or a system builder version of windows. 939 cpu's are getting more scarce every day. Wait a month and you may have to settle for a slower chip.
Video card-recommend the Nv 7950. bit more expensive than the others but if you have SLI you add another later and your still competing with the big boys. A slow cpu will bottleneck a good video card tho. ATI has some good cards too, tho the newer ones are power hogs and may require new psu.