I can help you out since I just built one myself
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First of all, a good place to start for general suggestions is arstechnica.com. If you go to the Buyer's Guide, you'll see recommended systems that fit into certain categories - the Budget Box, the Hot Rod, the Gamer Box, and the God Box. But if you want more specific suggestions, here's what you need to know. BTW, I'm recommending AMD since it's much more cost effective than Intel for DIY systems. You will need these components:
- Motherboard. Like alcimedes said, this is very important and you shouldn't skimp out. There are motherboards for all different purposes. The first thing you should look at is the chipset. There's nForce2, nForce3, K8T800, and so on. nForce2 is fine for a basic PC without many frills. The nForce3 is great if you want some extra stuff - nForce3 motherboards usually have onboard SATA, gigabit ethernet, multi-channel sound, and some have Firewire onboard as well. There's also the upcoming nForce4 chipset which will support PCI-Express. I'd say you should spend about $70-$120 on a motherboard. DFI, Asus, and Abit all make good motherboards... mine's an Epox, and it's fine too.
- Processor. For simplicity, get a retail processor. OEM processors are cheaper, but they don't give you a retail heatsink. It's much easier to install a retail heatsink, you don't have to mess with thermal paste, so that's the route you should go unless you want to overclock. I'd go with an Athlon 64. Now there's another thing to consider - socket 754 versus socket 939. S754 is cheaper and more available, but S939 is a bit faster and supports dual channel DDR (5-10% performance gain, nothing huge). I went with S754, but it is on the way out. If you want room to upgrade for the future, S939 will get you that. Otherwise, S754 is probably fine. My S754 Athlon 64 3000+ (2.0 GHz) cost about $160. You can go with a 3200+ (2.2 GHz) for around $200, or a 2800+ (1.8 GHz) for about $140. You can also save some money on the processor if performance isn't paramount - AMD also makes the low-end Sempron line, which also uses socket 754, so you can save a lot of money by going that route.
- Case/Power Supply. For this I'd recommend an Antec with an included PSU. Look for deals on NewEgg, and make sure to look at the shipping charge. I got an SLK3700AMB for $69 with free shipping. It comes with an excellent power supply and the price was about the same as many cheaper cases once you factor in shipping. Antec makes very nice, very quiet cases.
- RAM. 512 MB should be enough, but 1 GB can be nice if you're really demanding. If you have a socket 939 motherboard, make sure you get a matched pair so you can use dual-channel. Otherwise you can pick either a pair or a single module - socket 754 doesn't care either way.
- Graphics card. This one is totally up to you. You can go with a cheap thing like a Radeon 9200 or 9550 if you want video acceleration and light gaming. Those are under $100. The Radeon 9600XT for $140 and the Radeon 9800 Pro for $200 are both great cards for the money. Make sure if you get a Radeon 9800 Pro that you get the 128 MB version, and make sure it has 128 MB of 256-bit VRAM. Some companies like Sapphire sell 128-bit versions as the "9800 Pro EZ," and they suck ass. You can also go the high end route. There's the GeForce 6800 standard for $280, the Radeon X800 Pro for $350 (at Outpost.com, NewEgg sells them for over $400), and GeForce 6800GT.
- Sound card. If you want great sound, the onboard sound won't really cut it. I'd say to go for an M-audio Revolution 5.1 if you want to listen to music mostly. For gaming, the Creative SoundBlaster Audigy 2 is the best with hardware acceleration and environmental sound. Or just go without, and if you are not satisfied, pick one up later. There are cheaper options as well, like the Turtle Beach Santa Cruz.
The rest of the components are generic things, like hard drives and optical drives. Oh, and you should probably get a floppy drive in case you ever have to load an emergency DOS boot disk or load third-party drivers during Windows installation. It's silly, but you should get one. If Windows only allowed you to use a CD for loading drivers, I wouldn't have bothered.
Anyway, if you have other questions, just ask. It would help if you gave us more of an idea of what you want.