I've been building my own systems for the past decade. I LOVE being able to choose each and every part. Every time I take a peek to see if the "custom" builders can do it better, I always find a crappy case or Power supply or no-name something somewhere in the loop.
The most important thing is that the motherboard, memory and processor are paired properly. There is 1.8v memory and 2.1v memory and that alone can mess you up if you don't know what you're doing. Memory is the most complicated and critical choice. You usually can't go wrong with Kingston. Good motherboard brands are Asus, Abit, MSI, Gigabit and others. Many folks like Intel motherboards but I had a horrible experience with them and never again for me!!
There are many, many sites for people who want to do this. My favorite is
www.anandtech.com then click forums. No need to post. Just poke around there and look for someone asking the exact same question and copy the popular recipe and order from Newegg.com. They are about as close as you can get to a one-stop shop. You might be able to beat their price on one or two of the items but not by much and it's not worth the hassle.
DO NOT SKIMP ON THE POWER SUPPLY. I cannot stress that enough. Antec, PC Power and Cooling, OCZ, Seasonic are some of the best but there are others that are good too. Avoid Cooler Master and Rosewill and any one that seems too cheap. If unsure look at the weight and compare it that way. The heavier the better.