I've built my own PC twice, helped my father build his, and am about to build a movie server for all my DVDs/Blu-Rays. But instead of telling you what to do, let me help you figure out how to do it. A site I've used a lot in the past is
Guru3D. I'll provide some shopping links to NewEgg, mainly because it's easy to find everything there. But shop around. When I built my first computer I bought from four sites over the course of 3 months, watching prices the whole time to get several pieces on sale. I saved almost $200 on a $1200 computer doing this (~16%). Watch out for shipping and taxes when comparing.
First, let's begin with the holy trinity: CPU, Motherboard, and Memory. These pieces are all interdependent. It is easiest to pick either a CPU or Mother Board you want and then find the other pieces, than find the best of each category and then figure out if they work together. I'd recommend picking the CPU and going from there.
CPUFirst, AMD or Intel, doesn't matter. I've used AMD for 10 years without a single issue. At this point there is no difference if you are running Windows, and if you are running *nix then I'll assume you know enough to download the AMD versions of things. At the present time, Intel chips are generally better,
however, when it comes to dollars-to-performance, AMD is generally ahead in the budget $100-200 range. Both my builds were AMD, but my father's was Intel. There are going to be pros and cons to both.
Note that AMD has some APUs which are a CPU and graphics card combined. They are under the name Llano. You'll have to read reviews to decide if you can go with one of these and skip the graphics card or not. If you can, you'll probably save about $100 on your final build. If I recall, this might be a little too low on performance for you, but check them out just in case. Intel does not have APUs yet (I heard something about Windows 8-only APUs from Intel, but I don't count that).
Besides just checking out reviews and benchmarks, one of my concerns when picking is future upgrade potential. You want to make sure your CPU plugs into one of the latest
sockets (go to bottom of table for latest releases), so you can be certain that new CPUs coming out will fit your mobo, giving you the ability to upgrade your computer in a year or two without having to replace your mobo and RAM. See the Mother Board section for more info.
I strongly recommend you get the Commercial version of a CPU and not the OEM. The Commercial version should come with a cooling system that will be enough unless you start overclocking. It also often has warranty advantages in the event it is defective. The OEM version may not even have installation instructions. The extra $5-15 is worth it.
ShoppingMother Board (mobo)You need a mobo that your CPU can plug in to, and that is determined by the socket type. AMD and Intel have their own sockets, and they are not in the least compatible. So there are Intel-only mobos, and AMD-only mobos. Your mobo choice will also affect what RAM you can use. It has all the buses (physical pathways) between the CPU and RAM, so some older mobos that might have the right socket for the CPU you pick, might not support the latest and fastest RAM available. So just be cautious about selecting an older mobo. But RAM hasn't changed much in the last couple of years so there isn't as many compatibility issues to worry about at present.
When it comes to sockets, for AMD, you want to use either Socket AM3+ or Socket FM1 if you go with a Llano APU. From Intel go with Socket H2 (also called LGA 1155). Socket R (also called LGA 2011) is for very high-end stuff, and their CPUs would take up your entire budget. Also, make sure the mobo size is Standard ATX, or just ATX. Avoid the micro, extended, or other odd sizes which may require special cases.
Read the mobo reviews. Read multiple for the mobo you think you want. There is a lot of stuff beyond basic specs that review can tell you. Also read what they come with, I've had a mobo that came with every cable you might possibly need, and another that came with barely any (sometimes this is called the Deluxe version). For the most part the other parts you buy will have the necessary cables, but not always. Don't be surprised if you find yourself needing a random cable after all the parts come in.
ShoppingMemory (RAM)At this time, pretty much you can go with DDR3 SDRAM and be fine. However, RAM does have a speed, so check both your mobo and CPU to see what they can handle. You need to pick a speed both can handle. You'll see two speed numbers listed. One is just a number after the RAM type, like DDR3 2800. The other is PC3 22400, often shown in parenthesis. Those are two different values that mean the same speed. Most RAM will list both numbers, and most CPUs/Mobo will do likewise. [EDIT:] Faster is better though, so pick the RAM with the highest number that both your mobo and CPU will support. This can be a compatibility issue for future upgrades if you pick a lower-end CPU that can't handle the faster speeds with the plan to later upgrade the CPU, but the mobo you get could go higher, you'll end up with sub-optimal RAM when you later upgrade. So if you are picking between two CPUs and one can handle faster RAM, assuming the mobo you plan to get can handle both speeds, consider the higher-end CPU so you can get faster RAM to get the best performance out of your next upgrade.
You're going to read all about latency and other stats, and you'll see RAM can go range from $25-300. Don't try and interpret how good the RAM is from the stats. Basically, find a review that lists the memory as reliable with nothing negative to say. You'll want at least 8gig, and two sticks of 4gig is a very common packaging. Your mobo should be able to handle 4 sticks total (read the specs on it to be sure) and you can get that for $25-50 a set. Be aware of whether you are buying a pair of sticks, or a single stick. Look for "8gig (2x4gig)" compared to "8gig". For simplicity, get either two or four sticks, and make them all the exact same unless you research carefully. There are all kinds of timing issues using different sticks can cause, and I don't trust anyone besides an expert to know what's okay.
You aren't going to get crazy performance here, so don't waste a lot of budget on the RAM. You want reliable and a reasonable price-point.
ShoppingCaseThis should be a simple $25-50, unless you've got an existing case you can use. You want something that can fit a Standard ATX motherboard. Often if a case is called an ATX case (with nothing in front like Micro, or Extended, or EATX) then it will fit a Standard ATX mobo. Beyond this you are picking on looks, function (tower, desktop), weight (are you moving this a lot?) and probably most importantly, easy of use. If you pick a Mini-Tower or other cramped case, you are going to hate assembling your computer. On the flip side, a huge case can give you problems with cords reaching. If you've got no other preference, I recommend a Mid-Tower. Read reviews on the cases, paying attention to those by guys who built a computer and had to deal with any cramping or cabling issues.
Of you've already got a case, determine if it will work for you. Keep in mind this is a fairly cheap part and not one you want to buy later and move all the guts into. So either get a new case, or make certain you're ok leaving your new computer in your old case. Moving everything over is annoying. There are other parts easier to delay the purchase of than the case.
ShoppingGraphics CardOnce you know what mobo you are getting, check out the Graphics Card connector it has, and start reading reviews to find the card that fits best into your budget. This is probably the decision you will spend the most time on. Note that just because you decide you want say a Radeon HD 7000 series, be aware there may be 5+ manufactorers making that card, and the performance of each will be different! And so will the prices, sometimes by a fair amount. So make sure you pay attention to manufacturer AND model.
ShoppingPower Supply Unit (PSU)First, make sure you get an ATX12V PSU, which has the 24-pin connector that the latest mobos use, instead of the old 20-pin.
Besides that, the trickest part of this is figuring out what wattage you need. There are several
calculators on the internet, but keep in mind any future upgrades you plan to make (everything inside the case counts or plugged in via USB, like adding HDDs). Also keep in mind a PSU doesn't maintain its listed wattage forever, they degrade over time. So if you pick something that is barely enough, it may fail in 3-5 years. This also depends a lot on quality of the PSU. A lot of brand-name expensive stuff is overspecced so you'll never notice the loss, but quite a bit of the cheap no-name stuff is actually underspec and you can get failures very fast. So consider, if your PSU fails it can destroy every single other component in your computer, and no surge protector can prevent that. So read reviews carefully, find something name brand, and understand it will cost $75+.
Some PSUs are modular, meaning a lot of their cabling can be removing/attached as needed, which makes for a cleaner case. Don't worry too much about one-rail versus multiple rails as you won't be putting enough load on the PSU given your budget. Single rail is less to worry about because you don't need to worry about splitting the power load.
ShoppingHard Drive (HDD)Similar to PSUs, read the reviews. You can get 2TB drives for around $100, and I honestly wouldn't go below 1.5TB. A SSD is nice, especially for the OS, but they are honestly too expensive for your build so I wouldn't even bother. Your HDD should be SATA 3.0Gb/s or SATA 6.0Gb/s. Check out your mobo, which will tell you if it supports 6.0Gb/s. A 6.0Gb/s HDD will work on a mobo that only does 3.0Gb/s, it just isn't transfering data as fast as it could.
ShoppingOperating System (OS)Assuming you are going windows, get Windows 7 64-bit Home Premium. You can go with an OEM version here to save a few bucks, but I've been inclined not to just for support reasons.
Keyboard & MouseLots of choices, but this is one part you can hold off on if you've got existing hardware. If your old KB&M isn't USB, it probably won't work with modern mobos unless you buy adapters.
MonitorSimilarly, if you have a working monitor, you can save some money here and hold off. Otherwise, I'd recommend a wide-screen LCD monitor. Pick something that can handle the max resolution you want, and be sure to read the review first. Most modern graphics cards should support both DVI and HDMI connections, and so should monitors, so there shouldn't be any compatibility issues unless you try and hook up an old CRT.
If you have any questions, feel free to ask. I stayed up too late typing this, so I'm sure I missed stuff.