There is something about frame rates and playability that I just don't get.

I'm playing with an old PC with low-tier parts;

*Athlon II X2 245 2.9 GhZ
*2Gigs DDR2 memory
*Geforce 9500 GT, latest drivers

Now, I have put hundreds of hours into Skyrim, and there is very few playability issues for me.

Skyrim setup:
*1280x720
*Antialiasing off
*Anisotropic: 4
*Textures high, radial blur low, shadow detail low, decal quantity high
*FXAA on
*Reflect everything except objects
*View distance in the medium range on all accounts
...no HD texture pack.

Skyrim runs quite well, in caves usually 40 to 60 fps, outside 35-50 fps (with Fraps)
...only occasionally with heavy effects or multiple NPCs fighting at the same time do I get bad lag. Say maybe 20 fps or less at the worst.

I am thinking of upgrading my rig, but I don't really understand how most of the results with new budget builds work so badly.
I've seen a lot of Youtube feeds of ~600-1000 $ gaming PCs resulting nearly unplayable frame rates.

How in the world does my PC work so well with the game?

Why do so many people get so disappointing results with better components?

I am wondering if upgrading my PC with a new CPU and GPU is a waste of money. Or if I will only find good benefits if I spend more than a 1000 bucks for new ones.

My plan was to get a i5 2400 or 2500k and a GTX 650 ti, or perhaps a HD 7850 2GB, but having seen frame rate quotes with such machinery I'm not convinced.
Is a budget upgrade worth the money or should I just keep playing with my historic rig?

Did you look at the dates of those videos and reviews ?
Maybe they were all written and made in the first 2 months since the release of Skyrim ? November and December 2011 ?

A lot has been improved since then.
The biggest change has been that Bethesda released a patch that gave us an executable with compile-time optimizations. That gave all players fps increases between 20 and 50% ! That happened in January 2012. And more changes have been made to make the game perform better. On top of that, nVidia and AMD have tweaked their drivers over the last 12 months to give us even higher framerates too. Just the driver tweaks can have improved fps by another 20% or more (just guessing).

Also a lot depends on what features you enable. The more features, the lower your fps (duh!). But the more features you enable, the less the reward. E.g. I run with SSAO. Noticable for me, and I don't want to miss is anymore, but I think most players wouldn't care. SSAO can cost more than 20% of your framerates ! (I think the implementation isn't too good in DX9). My rig might be able to do 200 fps. But I enabled so many features, that I stay around 60 fps again.

Also, depending on the mindset of the reviewer, some people might exaggerate and say that their game runs bad. "Only 40 fps at the stairs in Whiterun". Someone else might say "my game runs great, never low framerates". And still the first person might get much higher fps on average ! Benchmarking in Skyrim isn't that easy, because there is no good demo-recording and demo-playback functionality in the game. What I mean to say is: take all those fps numbers you see with a grain of salt.

A better PC will give you higher fps. And/or allow you to enable more features. That's just a fact.

If you want to compare some numbers, check out some benchmarks from decent hardware sites.
I always like Anandtech.com.
They have benchmarks for GPUs and CPUs. Have a look.
http://www.anandtech.com/bench/GPU12/457
(Note, those numbers are probably from November last year, with unoptimized code and drivers).

I believe most people that report poor performance with the budget build don't have technical expertise they claim to have. I just built a budget gaming rig for $670. I will note that I reused an old case and CD/DVD disc drive I had from a dead workstation. That saved about $70.00.

What I'm running

- Asus F2A-M Pro FM2 AMD A85X (Hudson D4) Stata 6GB/s USB 3.0 HDMI Micro ATX Amd Motherboard
- AMD A10 5800K Trinity 3.78GHz (4.2 GHz Turbo) Socket FM2 100W Quad-Core Desktop APU (CPU + GPU) with DirectX 11 Graphic AMD
- G.Skill Rpjaws X Serries 8GB (2x4GB) DDR3 SDRAM 2133 PC31700
- Antec Neo EC0520C 520W Continuous Power Supply. (Reason for this one is the connection for video card)
- Western Digital Black WD1002FAEX 1TB 7200 RPM Sata 6GB/s 64MB cache drive. (Should have gone with an SSD for better performance, but would not fit in my budget.)

The above parts ran me $469.00 at newegg.com. Add $100.00 for Windows 7 Home Premium 64 bit.

I run Skyrim on high with no problems with the latest patches. I can run on ultra but it does lag a bit in the frames when I do.

The only change I had to make for the game play was to change the north bridge setting for the processor memory from 512MB to 2GB. Once done no problems.

It can be worth the money it you're willing to take the time to research the parts and admit when your not sure if it will work.