Rather than listing components, here's some thoughts for you:
Case: Find one with good cooling. At least two fans, front intake and rear exhast, along with a side duct or fan for the CPU cooler intake. 120mm fans are better than 80mm although side fans are usually 80mm. Make sure it can accomodate any and all drives you're ever going to want to install (hard drives (5.5" bay), optical drives (5.5" bay), floppys (3.5" bay), etc.). I like mid-tower cases as a good compromise between external size and internal roominess.
Motherboard: Find one in the 100-250 price range that is well reviewed and features 4 slots for DDR2 memory (8 Gb supported) and PCIe x16 or PCIe x16 2.0 video card slot(s) (2.0 slots preferred but not nessesary... yet). I prefer ATX over micro ATX. Make sure it can accomodate 1333 FSB speeds and DDR2 800 memory as a minimum, has a 24 pin PSU plug, 8 pin CPU plug and several 4 pin fan plugs (these will allow all fans to be run by the motherboard depending on heat).
CPU: I can't speak to AMD but as far as Intel goes stick with the Core2Duo family. Great bang for the buck and overclockers heaven. Pick this first as your motherboard will need the right socket to accomodate it.
CPU Cooler: The stock Intel units are fine unless you plan on overclocking, then you'll likley want an aftermarket unit.
Memory: Stick with DDR2 800 for now. It's the most common and it's cheap. Make sure it's got heatsinks.
Video card: Again I can't speak to ATI but as far as NVidia goes stick with the 9600 (lower end), 8800 (best bang for buck) or 9800 (high end) series. If you're on a very tight budget you can get by with the 8600's (budget). Which one depends on your budget.
Sound card: A source of varying opinion. Mine is that it's required. It lowers load on the CPU and usually sounds better than on-board sound. I have a strong preference for Creative.
Hard drives: Buy 7,000 RPM SATA3 drives as a minimum. They are much faster than the old ATA drives. If you can afford it, the Western Digital 10,000 RPM Raptors are the way to go but are premium priced products.
Optical Drives: Same deal... go SATA3.
Floppy Drives: Not needed these days but still nice to have for small file transfers, BIOS updates, etc. and for $7 why not?
Power Supply: You'll need one that provides enough wattage to run your whole system. There are wattage calculators at newegg to get you in the ballpark. It will also need enough amps on the 12V rails to run everything. You can add together the amps from multiple 12V rails to get the total. Most PSU's run 80% or less efficient so take that into account. As an initial guess I'd be looking for 35-40 amps on the 12V rails as a minimum (the video card alone is going to use over 20 of that).
I'm sure others will add more. I tried not to get too far into features here as eveyone has their own preferences, budgets, etc. I really only wanted to cover a few of the basics to get you started.
