Depends on how much you want to spend, really.

I'm running an MSI K8N Neo 3, which is a Socket 754 board with PCIe support. It's about 80 bucks, but doesn't have an onboard riser for Firewire. Socket 754 is good if you don't want to spend a ton on a 64-bit processor. Semprons are just fine, but you can also get 64-bit processors for the 754. 939 is 64-bit only, so you're going to spend more.

It's a never-ending thing. You get a board with a fast FSB, then ya want SATA hard drives. More RAM. Etc.

If you're going to water cool, I would suggest one of the kits. If not, at least get some better air cooling. Stock fans boxed with processors aren't really up to the task.