Obviously big changes, but depends on where in the purchasing spectrum you lie.
At a minimum, you will be going dual core IMO. Intel has made some tremendous improvements, but AMD is still viable. And obviously there are tri/quad/hex cores out there now depending on your needs.
Video cards--massive, massive improvements at all levels. The $80 midrange cards will smash the top cards of 05. Faster, cooler etc. Much better cooling options available as well.
Big coolers. The Ninja really seemed to kick off that trend. I'm still happy with my rev. B model
Cases. I think there was a bit of a backlash on here against Antec cases, only so many Antec/Ninja/Accelero gallery shots you can look at before they run together. Also Antec started putting holes in the doors and "fast, cool, V's in their grilles" and that might not be to everyone's taste. I like my mini-fridge P180.
The big coolers either come with or you can get a backplate for them to offset the weight problem and not worry about the cooler ripping the bracket off the board.
Integrated video has come a long way. If you're not gaming or into a specialty that uses video card acceleration (distributed computing, graphic design, video work, engineering) you will be fine with the modern IGPs.
Vista. Windows 7. And the Linuxen. I'm not too up to date on Linux at this point, but if it's been improving at the rate it was (and it sounds like it) you could be interested in it. If you missed Vista you'll have a bigger adjustment to make to W7, but you might be lucky as well. As happy as I was with Vista post-SP1, W7 is a definite improvement.
If you spend $500 you will get a machine that runs rings around your 2005 box, consumes less power, and is probably quieter with much less effort. Enjoy!