I'm not sure about the older 400/533MHz P4s for overclocking, but I'd imagine you could it high enough that it wouldn't be much of a problem. Hell, you could probably get it high enough so that it's not even a bottleneck.

As for BF2, it runs fine at 800x600 (unless I forgot and it was 1024x768) with most settings on medium, some on low:
Radeon 9600, overclocked way past 9600XTs speeds, though the improvement over stock wasn't very noticable, meaning I could turn settings up.
Athlon XP 2200
512MB of RAM
Tweaked, but with antivirus and plenty of serivces still running, in addititon to Folding@Home. In other words, not tweaked, but not nearly as much as my own gaming system.

The load times were a little longer than I'm used to, but in-game it performed quite nicely. Really, a large reason for the need for more RAM is loading times. With newer games, such as BF2, it can provide higher framerates and allow for higher visual settings, particularly textures. But the loading times in pretty much all newer games are significantly improved by increasing the RAM. Doom 3, Half-Life 2/Counter-Stirke: Source, Battlefield 2, etc. I'd bet a lot of MMORPGs take advantage of RAM, too. That said, the only one I play is Guild Wars and it doesn't seem to care... But its easily provides the best visual quality of any type of game on anytihng but top-of-the-line hardware, so my experience with it and RAM may be irrelevent compared to FFXI.

So anyway, I'd say you're making good choices there. After the video card, more RAM, then better cooling for overclocking. I'm not too worried about the PSU because this is just a socket 478 system and even with a hungry video card, it won't take much power.

Edit: For cooling you'll certainly want to invest in some intake fans if you don't have any. Exhaust alone helps, but not a whole lot if you don't have some intake.