Depends on your budget. I like to build gaming pc's more or less in this order. I try to buy everything at once, since upgrades go by so dang fast.
Case - make sure it has adaquate cooling, the fans aren't too loud, and you can handle the looks of it. cases nowadays are starting to look like they're designed by 14 year olds on LSD.
Power supply - Way too often overlooked, don't cheap out. go 350w or better, and pay for quality. I have an Enermax 350w in my gaming PC, and it's never given any problems or caused crashes.
Motherboard - Kind of personal preference. Check
http://www.tomshardware.com for better reviews. I try to find them with the minimal of bells & whistles, but it's increasingly rare nowadays.
CPU - You'll find the big range of processors has a gradually increasing price, until it hits a major jump after a certain model. I go with the model just before the jump and tend to get the most bang for the buck at the time. Never had problems with AMD, nor Intels.
RAM - I wouldn't go less than 1gig nowadays. Cas 2 preferably. I'm partial to the brand Mushkin, but to each their own.
#1 Harddrive - I've been using 10k rpm Western Digital Raptors with great success. OS install on 1 partition, small partition for the swap file, last partition for game installs. It's alittle loud, but it's very, very fast. The 72g model is actually faster than the 36g model also.
#2 Harddrive - purely storage for mp3s, movies, pr0n... optional. I don't even have one in my gaming PC... everything gets dumped to network storage.
Video card - eh, there's a new "best" card every week. get whatever works best with the games you play for the price you're willing to pay.
Sound card - never gone wrong with Creative Labs Audigy cards. Disable the onboard to pickup a few more FPS, and get far superior sound quality and capabilities.
Network card - disable the onboard, and you'll pickup some extra FPS.
Gaming keyboard, mouse, & mousepad - get what's most comfy. Add telfon feet to your mouse if you play twitch games. If you get a Ratzpad or Steelpad, it's money well spent. They're oversized and work great. I just pick whatever keyboard is most comfy to type on.
Monitor - higher the refresh the better @ high resolutions. on lcd's watch for latency also. the lower the dot pitch, the closer the pixels are spaced on the screen, making it prettier.
little ancedote here... first PC I ever built... I was 14 at the time. A 486 DX 100 in a massively oversized full tower case. The power switch didn't come wired. I wired it myself. First time I hit the power switch, my room plunged into darkness and nothing worked... at all... I blew the breaker. Flipped that back, grabbed my trusty pliers to get the sticky connectors off the switch and rearrange them. At some point, metal hit metal. A chunk was blown out of the pliers. Somehow, thankfully, I managed not to pee my pants. After I came to, I waited until the muscle spasm in my arm went away, yanked out the power cord, and got the stupid thing working after a few more hair raising attempts.
So, in summary, always make sure it's unplugged, keep yourself properly grounded, and if you fry the component, claim it never worked to begin with and exchange it.
