Having just gone through the same process you're entering right now, I'll give you some of my thoughts.
Generally:
Go to http://www.pricewatch.com. Unlike newegg and some other sites, they don't sell anything on pricewatch. Instead, they track prices across a number of websites. This is a handy tool for finding what you need.
1) Processor: This should be the first category you make a decision about. Other things will depend on it. There are two choices, AMD and Intel. If you're looking for mid-range performance, go Athlon. If you're looking to go high-end, go Intel. Athlon processors give better value for money up until you hit the Athlon XP 2600+. Beyond that, AMD's equivalency ratings are substantially off, and a P4 will out perform an Athlon consistently. You can "save" a few bucks here by going OEM. I've never had a processor go bad within the time period where it was worth the hassel to use the warranty. However, by the time you've bought a fan and heatsink combo, you haven't really saved any money.
Pay the extra few dollars and go with the highest bus speed you can find.
I went with an Intel P4 3.0 GHz @800 MHz, but I went top shelf this time.
2) Mainboard: If you've gone Athlon, I'd recommend the ASUS
A7N8X Deluxe nForce2. It's very nice for the price and has a broad feature set. If you're going Intel, the ASUS P4P800 Deluxe is awesome. This was one of the least difficult hardware configs I've done and I blame this board for half of it.
3) Memory: For memory, there's really one choice in my book. Corsair. In particular, I'd go with 2 sticks of 512-MB Corsair XMS DDR400/PC3200. It's going to be more expensive, but it's mad fast. It's seriously low latency RAM that will make you happy without ever knowing why.
4) Video Card: Right now, you can get an ATI Radeon 9800 Pro 256 for about $300.00. While you could blow the extra $100 dollars on the XT version, I'm not sure its worth it in terms of value for money.
5) N.B.: If you go with a P4, remember to buy a new P4 compatible power supply. I didn't and it delayed my build for a few hours. You can get a decent PS for about $20 on Pricewatch. I spent $40, but I didn't want to wait for shipping.
6) That other stuff: Get a fast Hard Drive. Even if you have to skimp and go small, do it. Fast hard drive equals less waiting for information to hit your MB and Proc. You can always get a bigger Hard Drive later to use for storage. I scavenged a sound card from my old machine, but the MB has onboard sound (pretty good too!). Most new Motherboards also have a built in NIC. If you don't have a broad band connection, you'll need a PCI modem. Get the cheapest floppy drive you can find (if you even bother). They're cheap and there hasn't been a noteworthy update to the technology in years. CD-Rom drives are also cheap. I'll let you find what suits your needs. I've had the same case for years now. I've got no problems with a basic grey box though. If you do, there are a million customizations you can do, most of which are a matter of personal taste.
Let me know if you've got any questions. I'll be glad to help you find a good system for however much you're willing to spend.
--G
