First, you want to decide how much you want to spend and what the main purpose of the PC is going to be (gaming, file storage, etc.).
From there, compile your dream specs. Go look up the prices on somewhere like Newegg.com or Pricewatch. You'll discover that your dream system is way over the limit you set for yourself.
However, this is a good place to be. You can now whittle down specific parts (ie: Well, I don't need that 650$ processor. This 250$ one works almost as well. That's 400$ saved.) to get to your base price, while still keeping most of the dream system.
A good case is a very important thing to have, I highly recommend Antec - optimized for airflow. A hot system is a buggy system, as it is easier to overheat (important if you play a lot of games and have high-end CPU and graphics cards).
Another thing you'll want to look at, assuming you don't do the Serial ATA harddrives, is getting the Western Digital Special Edition drives with 8MB cache. You'll see much faster performance with those.
Be sure that you aren't squeamish with working with hardware, as you'll be up to your elbows in the midst of your computer, and having some hesitation about putting arctic silver onto your CPU and slapping the heatsink on top of it can very easily end up with a burnt CPU and possibly motherboard.
All in all, it's a very rewarding experience to finish building your PC, and I have done it several times and have helped out lots more friends.
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Eat antimatter, Posleen-boy!
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