www.newegg.com is a good place to start looking at components.
At the bare minimum you will need:
Case
Motherboard
CPU
RAM
Hard Drive
Optical Drive
Video Card
I leave soundcard and ethernet card off the list, because most motherboard have some sort of onboard sound and LAN, and they are usually more than sufficient for playing games.
Some people swear by AMD, some swear by Intel. Personally, I’ve bought AMD for my previous couple of computers for the price, ad the last Intel PC I built had heat issues (that was way back in the day, tho). The Current Intels are generally ‘better’ than the current AMD’s, but they are also more expensive, so you’ll have to look at some charts and some prices to see which way you want to go yourself. I’m about to build another PC and right now I’m still leaning towards AMD, but the Intels that are out now (like the quads…) are really blowing the doors off the AMD’s in performance terms.
With Video cards it’s largely the same. The ATI cards are ususally more expensive, and the most expensive ATI cards will outperform any Nvidia card out there (as far as I know), but the Nvidias are - in my experience - more stable and tend to play well with everything. I prefer Nvidias drivers and settings as well, and if you’re going Linux or think you might decide to go with Linux, Nvidia is much easier to work with. Get something with Pixel Shader 3.0 and get a minimum of 512 MB Video Ram. The video card - in my experience - should almost always end up being the most expensive thing in the PC, and with GLUT on the horizon, the faster, better a video card you get, you might end up with a LOT more bang for your buck later on.
SATA Hard Drives and Optical Drives are the way to go. Seagate Hard Drives are bad-asses that last forever. Western Digital is the privious ‘best HD ever’ award holder, and they still make decent stuff. Maxtor is popular, but I think it’s just due to price. I’ve had a few Maxtor Drives, and they’re stable enough, but I’ve had three HD’s crap out on me and two of them were Maxtors. The other one was a decade-old Western Digital. The Maxtors were only a couple of years old.
You can get nearly a Terrabyte of storage now for a couple hundred bucks. It’s insane.
For an Optical Drive, get some sort of burner… Depending on what way you go, the optical drive can cost you next to nothing (like $30) for a decent, solid DVD burner, or you can get something more high-end, like the newer LG Blu-Ray burners. These drives will burn and read anything you throw at them. Optical Drives are less likely to up and die on you, but I make it a point to avoid Pioneer, as all the optical drives that have EVER crapped out on me were Pioneer.
Asus makes a good motherboard, but there are so many board makers out there now, I’m not sure how many of them are solid and how many of them are crap. New Egg allows you to look at the reviews and see if people are getting a lot of dead boards or whatever.
Also, one thing to be aware of is that your Motherboard will be key factors for other purchases. Some motherboards are laid out oddly, so that a large Video Card will obstruct your RAM slots or something else. Always look at the reviews for motherboards and see if the comments mention any really abnormal things like slots being covered by cards or by the cases, not fitting the cases correctly or large numbers of complaints of DOA boards.
Anyway, I’ve put together a few PC’s on New Egg in the last couple of months without actually buying them, and for about $600 - $700 you can build yourself quite an awesome little PC that will be playing games well for the next three or four years without worry. Since I’m more of a budget-oriented guy, I’ve also built some “e-Machine” type PC’s and have determined that you can build a PC right now for $400 that will be quite good in most cases (tho for playing games you’d probably have to lower some settings or resolution…). It’s a good time to be building PC’s tho. You might want to practice by making an e-machine first. You can probably build a “cheapest possible PC” for $150 or less. (and that PC would probably still be better than the one I currently have…)