Never built one before so help Up-to-date websites and suggestions on latest and greatest components would be helpful, thanks.
Newegg also sells barebone systems (case + power supply + motherboard + CPU) which I would highly recommend you start with. Then add a processor, graphics card, DVD drive and hard drive and you're all set. It is most important you choose a processor that is supported by your motherboard, as well as the fastest RAM supported by your motherboard and a graphics card that will work with both the motherboard and the powersupply. If the graphics card draws more power than what the power supply can handle, the system will become unstable, freezing or crashing randomly.
A mid-grade gaming PC shouldn't cost more than $1000 or so. Even a high-end one shouldn't be more than $2000. If you go above that, you're probably overspending on components and won't really see any boost in performance over lower priced alternatives.