Ok,..the hardest part of building a PC is matching up all the components. Making sure all your stuff works well together.
You will also need to decide on the level of performance you want and match the performance levels (where possible) to get the most bang for the buck.
In other words, it is silly to buy an ATI 9800Pro and put a 1Ghz CPU. Conversely, it is silly to buy a 3Ghz CPU and stuff a MV NVidia card in it.
Some tips
1) Get all your components layed out where you can see them.
2) It is generally better to completely mount the motherboard first, then peripherals next.
3) Make sure all cables in the computer are clear of the fans. Try to move them to the fans and make sure none will reach.
4) Do no overtighten the screws when mounting the motherboard. They need to be snug, but taking a torque wrench after them can damage the motherboard.
5) Keep all your power cables bundled away from other cables where possible. Reduces the chance of EMI interference.
6) Do not skimp on the power supply. Antec or Enermax are both excellent choices. I prefer the Antec TruPower line.
7) You have a choice between AMD and Intel on the CPU. Intel will generally cost more, but is easier to assemble due to the protective can on the CPU.
8) Do not skimp on the ram. Cheap ram will buy lots of problems. People have all kinds of recommendations for this. Crucial is good and they back it well. Not the most expensive, but not the cheapest either.
9) Carefully read through the motherboard manual and make sure you use PCI slots that are not sharing interrupts. Generally, you have three to use, but some motherboards will only have two available. Don't be fooled by ads for 6 PCI slots. You cannot use them all without incurring performance and/or stability problems.
10) On sound cards, SBLive cards are cheap, but incur high CPU utilization, while the Audigy2 is expensive but with a significant reduction in CPU overhead, which allows more CPU cycles to be used for games.
11) Hard drives are a can of worms. The IDE drives available today are pretty much commodity products that will die in about 2 years time. It's a crap shoot. Some will swear by every brand, others will curse every brand.
12) CD/DVD: Well, if you want to be able to burn DVD movies, only one choice, in my opinion, and that is the Sony DRU-500. Will burn about every type of CD/DVD media available.
13) If you are not into burning CD/DVD, then any 52x CD-ROM will be fine.
I have more, but this should be digested slowly.
