Good boy! Suggestion time! (Go to NewEgg) I'll link you what I purchased for my build just recently, just to give you an idea what to look for.
Processor: I'd stick with a solid dual-core rather than spending extra money on a quad-core chipset. Reason? There are no games out yet (not even Crysis) that fully utilize 4x Core technology. By the time big titles come out that do, the processors will be half the price and twice as powerful. Go for a Dual Core AMD with ~2.8-3.0GHz.
http://www.newegg.com/Product/Product.a ... 6819103773
Memory: 4 Gigs, ideally 2x 2Gig sticks. I recommend Corsair or Crucial because it's quality stuff. Remember, PAY attention to the ratings on each part. Some may look better but I'd read through reviews.
http://www.newegg.com/Product/Product.a ... 6820145194
Motherboard: Anything that has a SATA setup. IDE cords are a [censored] to deal with, and I don't much care for them. Plus SATA gets rid of you having to dick around with jumpers on your hard drives. I have an ASUS for a brand name, so there's a good starting point.
http://www.newegg.com/Product/Product.a ... 6813131013
Video: I'd look at the GeForce 9600GT 1.0Gb PCI-Express. It's a solid card, runs Crysis on nearly maxed-out specs (It'll run Oblivion without problem), and it's just nice to look at. But watch out! It's a big card and takes up a lot of space. Make sure your case is large enough.
http://www.newegg.com/Product/Product.a ... 6814130345
Audio: If you're really picky about sound, look for an audio card. If not, run with the onboard audio that comes with your motherboard. I'm running on my motherboard's audio and it works just fine for gaming. Good motherboard = good audio. Don't waste money on an audio card unless you're going to run something like Dolby 5.0 Surround.
Hard Drive: Pick up a solid 500GB drive and you'll be set. Make sure you look at reviews for this as well because you can buy shoddy drives.
DVD/CD Drives: I suggest an Asus media drive WITH LightScribe. Make sure it comes with LightScribe because it's a damn good feature for burners. Keep your eye out for anything 48-50x playback speeds.
http://www.newegg.com/Product/Product.a ... 6827135156
Power Source: If you're running a good gaming rig, pick up a good power source. Let me see if I can't link you the one I have. It's heavy-duty and works like a charm.
http://www.newegg.com/Product/Product.a ... 6817703009
I recommend that whatever build you get, you get this power source. It's excellent.
Case: Getting a case is almost as important as all the parts, am I right? ^^ You want it to look good, function well, and not fall to pieces on you if you bump it. That's hard to do with all this flashy plastic junk out there. What you want is a case that is fairly spacious but with plenty of airflow, because a big case with small fans will mean unmoving hot air inside. I.E. overheating.
http://www.newegg.com/Product/Product.a ... 6811129021
This case is absolutely fabulous. It comes with two 120mm fans in the front that suck air in, a gigantic 200mm fan on the top that blows air up and out, and another 120mm fan in back to cool what didn't get obliterated by the big guy. Not to mention space for another optional fan in the clear case. Each fan has speed controls wired in so you can control their speed manually. Big plus in my opinion. And it's QUIET. Not to mention the power source is on the bottom of the case rather than the top, so you don't worry about hanging up a huge power source (like the one I showed you) and heat goes right into the upper fan.
If you don't grab this case, this is definitely one to compare things to. READ REVIEWS. Trust me, if something is going to go wrong it is in those reviews. Those $50 awesome looking cases on there will fall to bits and people will tell you.
Rule of thumb: You get what you pay for. Again, read the reviews. Dig deep and make sure you know what to expect when everything comes to your front door. The parts I listed to you, after all the sales I got them for, ran me $1,250. I'd make that your overall budget line.
Hell, here's a copy of the invoice I have for my rig. It should give you a good idea of what you should look for, and should expect to pay for:
http://i170.photobucket.com/albums/u250 ... nvoice.jpg