Okay, so here's what I've got so far.
By my understanding, you should begin the process by choosing the kind of setup you want (basic word processing and web surfing, home theater, family, gaming, image/audio/video editing, industrial, server), and then move to the processor. If you don't plan on upgrading for a few years, I wouldn't suggest getting anything less than the equivalent to a 2.0GHz dual core processor. It will generally handle most of what you throw at it for the time being. If you're going to be doing intensive video editing or gaming, though, you'll likely want something a bit faster, 2.4GHz dual core or faster (I'd even say 2.8GHz or faster if you're going to be playing serious 3d games).
Then we move on to the motherboard, which requires that you know what kind of processor goes with a given motherboard. Above with my gaming rig, I chose the Intel Core 2 Duo 2.8GHz processor, which means you need a motherboard that has a "socket 775" interface for the Intel CPU I chose. The second consideration when choosing a motherboard is how big you want it. I'm partial to MicroATX, as it's a bit smaller but is still able to pack quite a punch, but you can choose what you want. Just bear in mind this will affect which case you'll eventually need.
You'll be needing memory for your computer, so once you've chosen your motherboard, check that motherboard to see what kind of RAM it takes. If the RAM it needs is a bit too slow for your tastes, you may want to pick a better motherboard. The motherboard I chose for my gaming rig requires DDR 2 PC6400 RAM, and can go up to 8GB, though as I understand it that would be useless in a 32 bit system. If you're just doing the bare minimum or normal computing, you really only need maybe 1.5-2GHz of RAM. More powerful computers, however, will require more RAM. For gaming, this means you really should have 4GB. Don't worry, RAM prices have dropped quite a bit (unless you want something brand new like DDR3 1066MHz RAM, which is still very expensive).
After you've got your RAM picked you may need a graphics card. If you're just using the computer for web surfing and word processing, you can probably just get a motherboard with a crappy integrated card, but if you plan on showing high def movies, games, or video editing, you'll need a card. Fortunately, Lasreth has a thread which is the authority on video cards
here. It's outstanding.
Okay, you've got all this junk and you need something to put it in, so you'll have to go back and check on what motherboard you picked out. MicroATX you say? Well perfect. Now you need to take cooling into consideration. If you've got a faster CPU, you'll need a stronger fan. The 2.8GHz processor I chose for my gaming rig will run quite hot and absolutely needs at least one strong fan in order to prevent overheating. Fortunately the case I chose has a nice big 120mm fan. If that's not enough (which is possible) I can add a second 120mm fan later to double the cooling ability. If you plan on using the same rig and upgrading later, you'll want one that can take more fans. Note: as you're assembling your rig, you absolutely need to be careful to remember spacers so as not to short anything out, as MikeSty said.
The disc drive is probably the easiest. Just check good reviews and make sure the thing comes with the necessary cables.
Power source. Like Martin said above, the wattage doesn't really come into play that often, it's more just a high number that they think people want to buy. You simply need something reliable, so look for a lot of good reviews online before purchasing. And be careful of ultra-good deals, because they can be too good to be true.
Before putting together your first computer, you may want to take apart and put back together an old PC a few times just to get a feel for where everything goes. You may also want a seasoned veteran with you when you assemble your PC.