The top of the line P4s along with the new chipsets that just came out are expensive but out perform everything else out there. So if price is no factor in your decision then that is where you should look.
If you have some sort of budget to consider but still want a pretty good gaming computer then I would look into AMD. Their new Barton chips are still expensive but that means some pretty fast- though somewhat older- processors have come down in price (XPs with the Thoroughbred B core). These are now very good buys and you can use the money you save on more memory, more hard drive space, a different video card, or just pocket it.
Like the Dude said, check out
www.pricewatch.com for deals.