Lancestorm - I agree with Phil that your $500 budget is unrealistic at best. You likely need to assemble a list of items you need and price things out at your local HD or home center to get a more realistic budget established. My future HT room is nearly the identical size to yours (19.3' x 13.5' x 7.1'), and my preliminary budget for building materials only is roughly $5000 (not including relocating a water heater, pipes, drains, battery backup sump pump and HVAC changes).
As far as your walls, it would help if you posted a diagram to get a better feel for the layout. Do you have a design? If you have a computer, you can buy a cheap 3D Home Architect program that is extremely helpful in creating a design to determine your best alternatives for layout, walls, furniture, lights, etc. It's only $11 at
this site .
Also, I do plan to put my 2x4 walls up directly to the concrete, with insulation that touches the walls - I did this in a previous basement, and know it meets code in WI (sorry Phil).

Doing this eliminates a potential cold air vector behind the dryall that could cause moisture that would damage the insulation behind the drywall. Do some extended searches of construction in this forum for more info on walls.
As far as your extended board, perhaps you could build a column to hide it? As well as the sump pit? The design app would help you tremendously. I have a similar situation with a support post and 2 outside water feeds that extend into the room - which will be hidden by 2 very well placed columns - and a support beam which will be hidden by a soffit. I can upload my initial plans tomorrow if you like so you can get an idea of what the 3D Home Architect can do for you (I'm on my wireless laptop now and don't have the plan handy - I'm a geek also
I hope I'm not discouraging you much - I'm excited about my HT also. I'd like nothing better than to be using it right now. But, I plan to have this room for a long time in our new (used) house, and I want to do it right. I'm not just going to slap something together quickly, as I know I'll regret not doing it right the first time. If I were you, I'd slow down and plan things properly - including a good design, realistic budget, and a timeline for completion - you will not regret it!!