Supercomputer legend Cray is partnered with Microsoft to make the CX1, a desktop Windows HPC Server 2008 box that runs from $6,000 to $60,000, depending on configuration. This hunk of pure horsepower can bury up to 16 processors in 64GB of RAM per node: it is not for running World of Warcraft. At least not the client.
That said, if you're going to make supercomputers within a few grand of consumer feasibility, why not make a boutique consumer box? A Cray desktop PC? Sweet!
A real-deal licensed Cray-for-consumers should be a miniature replica of the Cray-II, complete with cooling fountain: