Hi,
What I do first when trying to choose components is 1) decide the purpose of the computer (gaming, school work, or things like video editing or 3d rendering, etc) and then 2)How much can I spend on it.
Once I know those 2 things, I can start looking for the different components with those ideas in mind. I personally look for the processor first, because once you know what you need for that, you can then start looking for a system board with the correct socket type for it and then the rest of the components sort of follow that.
For the CPU - if its for gaming, I really do not need more than a dual core at this time, as most games do not make use of multiple cores right now (hopefully someday they will :D ), but if I need something for heavy number crunching with data bases or video editing/rendering, or 3d stuff like lightwave or autocad, the more cores the better! Being able to render with more cores goes much faster with a quad core over a dual core. Also processor speed is a factor too, if its for gaming I look at the games out there and what is recommended for the newest games and try to get at least that speed so that the processor can last for a few years. Also for a processor, the more level 1 and 2 cache(and lvl 3) the better. Once again though, it comes down to price, because more cores, faster speed, and more cache memory cost more money. When you determine this stuff, research the chips out there. AMD and Intel have many chips with similar statistics, so it can come down to price at that point or other people's reviews on newegg and tigerdirect to see how they liked them and if they seem to have a lot of defects or not. I have used both AMD and Intel and do not have a preference between them. Once you choose a processor, this tells you the socket type that you will need to look for in a motherboard.
For the motherboard - The first thing to look at is the socket type for the processor you want. Then start going through the available boards out there. The next thing you need to look at is the size of the motherboard (also called the form factor). Not all motherboards will fit in all cases. Full and mid size towers should be able to handle an ATX size board or micro atx board, but a small or micro atx computer case would only be able to fit a micro atx system board into it. At this point, you would also need to determine what you want for the rest of the computer such as, do you want onboard video or want a discrete card (one that plugs into an expansion slot on the system board), do you want to be able to run multiple video cards in SLI or Crossfire mode, do you want onboard audio or an expansion card, what type of ram (speed and amount; DDR2 or DDR3, how much will the board support, and how much can go into any one slot), do you need PCI slots, AGP port, HDMI, how many USB ports do you want, do you need Esata, etc. Thats why its good to determine what the computer will be used for ahead of time so you can work this stuff out. In my opinion, just get what you need, with enough extra for some expansion if you think you will want in at some point down the road. Once I determine the above stuff, I start looking at what boards are out there that will fit my needs. When I find some, I look at the reviews to see what other customer experiences have been. I do look at brands, too, I tend to stay away from ones I have never heard of before and go for ones that have been around for a while and give good service if there are problems (like Asus, MSI, EVGA, and others.. I even took a chance with ASRock and that board is still going strong after 5 years)... so just do your homework once you find a board you like and read up on it just to be sure.
The next thing I would look at is RAM. The rule I follow for RAM is get as much as you can afford, but with one caveat... if you are running a 32 bit operating system, do not get more than 4GBs of ram as the operating system will not recognize or use the excess. When you are picking ram, check the requirements on the motherboard to see which type (DDR, DDR2, or DDR3) is supported, and the speeds/frequency it supports. As the number go up on the DDR, the faster it will be (I do not worry about the timings at this point, if you get into overclocking thats when those will really start to matter).Use that as a frame work for picking the RAM, and once you have that, you can start looking at manufacturer, cost, etc. Once again, read the reviews for the RAM you want, see if they fail alot or what the customer feedback is like (I would be more apt to buy something that has over 300 positive newegg reviews with 50 negative than I would one that has 5 good reviews only and nothing else).
The next thing would be video - If you use onboard video, it should be fine for web surfing, MS office, and some dvd watching and such, but you have to realize that integrated video is going to use your computer's RAM to work, so you will have less RAM available for other things. (The same actually goes for onboard audio too I believe). If you want to do gaming (like Left for Dead or Call of Duty, or other graphic intensive games) you need to get a discrete video card with its own RAM and GPU chipset to get the best performance. You need to decide price especially for this as cards can be as cheap as 20 dollars up to 1000's of dollars depending if its a workstation type card for autocad or a card for gaming or for just normal use. Workstation cards, like quadro cards by Nvidia or ATI Fire gl cards will work well for autocad and maya but kind of bad for gaming. Based on the expansion slots on the motherboard, you can determine what kind of card to look for. If you have an AGP slot, you would want to buy an AGP video card, PCIe 16x or 2.0 slots mean you can buy the newer PCIe cards. (If you get a PCIe2.0 card you can use it in a PCIe 16x slot because the cards should be backwards compatible, it just will not run as fast as it could be running because it downgrades its bandwidth to match the slot). If you only have PCI expansion slots on your board, you can buy a PCI video card (not PCIexpress one!!). If you are looking for a gaming card, you need to be aware of the resolution you want to be able to play at, what version of direct X your operating system has or can run (winxp is like 9.0c, Vista 10, and win 7 is direct x 11). Newer cards can go into older operating systems as long as there are drivers for them, and even if the card supports say direct x 11, you can still use it in winxp with direct X 9 with no problems) and how much RAM you want on the card. The more RAM the better, however the more RAM the more expensive it is :O ! Another thing you need to consider about video cards is if it needs extra power (many newer cards require you to plug in 6 pin connectors in order for the card to run) so be aware of this when looking for cards. Also, once you have a general price range and idea of the kind you want, look at reviews and charts for the cards - you can find performance charts that show how well the card does at different resolutions and with different settings, and use that and the price to find one that fits your need. One last thing you need to be aware of is the size of the card... will it physically fit inside your computer case. Some video cards are massive, some are not. Some cards are made for a low profile (thin) case, and others are more normal size.
The other major component is the power supply. You need to choose a power supply that can power all of your devices, including video, hard drive, disk drives, USB peripherals, CPU, etc. You can find wattage calculators that can assist you with this. One that I have found that seems pretty accurate is
http://support.asus.com/powersupply.aspx
Do not skimp on the power supply cost wise, as it is the lifeblood of your computer. If you buy a cheap one or one that comes with a case, chances are it is made with not so great parts and will not last long and could cause troubles for other parts of the computer down the line. Big B wrote a good sticky for power supplies in the power supply section of the forum that you should read for more info for picking a PSU.
There is still the case to consider as well as fans, cpu cooling, monitors, keyboards and mice, hard drives and optical drives and such, but for now the best advice is to research the components, read reviews, and only buy want you actually need, do not buy things they you may never use or need (that is the benefit of building your own computer).