Honestly, this all greatly depends what you plan to run on it. You can build a system specifically to match a certain GPU, but if you play a game that's CPU heavy you might as well have the strongest CPU that doesn't break compatibility with other software you plan to run. If you're almost entirely playing games from 2001 or later, it's hard to justify NOT running the fastest system you can find in your price range since compatibility is far less of an issue. Newer stuff may very well be cheaper and more reliable too.
That said, if the 9800 Pro is set in stone, you will have to stick to AGP boards obviously, and it can be tough to find late AGP boards without bad caps or other issues, so be careful of that.. You'll probably just want to look at your usual marketplaces (online or otherwise) for the best looking AGP board you can find, ask about it here and if it's a good platform you can get that and build the rest of your machine from there.
Most likely a fast Athlon XP (3000+... 2Ghz or better) of any kind will be sufficient, but you really need to have the board picked out first to know which CPU will work best in it. There's a pretty wide variety of chipsets and FSB speeds you have to match up for Athlon XP CPUs. Same for Pentium 4.