A small form factor gaming machine is going to cost as much, if not more than a similarly-specified large PC.
An the higher end AMD APUs and Intel Ivy Bridge chips with the better integrated graphics (HD 4000) can make a stab at super-cheap stuff.
"Sharing" the rendering capability between systems is doable...but you're not going to just get it to work on your own with some easy software.
OnLive [s]does[/s] did it