current
P4 2.8ghz
512mb pc2700 ram
integrated graphics
Upgrade
1gb pc3200 ram
geforce 6200
old hp a365c, only supports up to pc3300 and agp8x

i would get 1 gb of ram and a 2600XT or a 3850

that should be able to run bioshock...

i had an AMD 3000+ 754 socket 1gig of ram and a 6800gs and it ran it fine on low/medium

i was thinking x1650pro for $65 but I'm not sure if the PSU of an old hp pavillion can handle it, and i dont want to buy a new psu. 6200 is the bests chance i have for it working with my psu, and im not even sure if the psu has extra connectors to install a gpu (like the x1650pro) that need a power connector. 6200 is safest bet. hope full it will run KOTR2, COD2, SystemShock2, Morrowind and maybe even Oblivion at lowest settings!
as for RAM, my mobo will support up to 2gigs but that would mean 4 512mb modules and will that run in dual channel?

My current pc has amd 64 3000+ which i think might roughly the same as your P4 ( someone correct me if i'm wrong, my knowledge on old intel chips is a bit sketchy ), I've also got 1gb of pc3200 and i have a 6600 with 256mb, i think the usual one had only 128mb and i could run bioshock on low. To be honest I think the 6200 might be asking too much. And if i remember rightly, oblivion didnt run great on mine. What's your current power supply?

As for memory, i believe if you use all 4 slots, it's no longer dual channel.