By 32MB nVidia card, I suppose you mean a TNT2 or GF2. For gaming, you'll see the biggest jump in performance if you upgrade the graphics card. Next comes the memory, and the CPU last.
Introduction of PCI-E has complicated matters in cases like yours. If it weren't for that, I'd suggest you buy a good AGP card first, install it on your present computer, and see if you're satisfied with it.
However, if you invest in an AGP card now, you won't be able to use it if you should decide to buy a PCI-E based system in the near future. The same is true with your SDRAM-based memory system.
Buying a whole new rig will obviously give you better all-round performance, but will cost more. It depends on how much you're willing to spend