Excellent idea. Be nice to know which components provide the most bang for the buck and which work best in terms of the game. I know nothing about building a PC but I can sure pay someone that does!
Personally I prefer nVidia over AMD as their cards seem to be optimised for more games, and have less issues with AMD optimised games. Can't be said the other way around.
Interms of nVidia Geforce cards the 760 and upcoming 860 (so the x60-series) seem to always have had the best bang for the buck.
In terms of CPU's I prefer the cooler running Intel processors. The more heat generated the more fans you need to cool either you air cooling block, or the radiator of your water setup. So the less fans you need or the lower you can let them run, the quieter and nicer it is to use the PC.
The minimum I recommend for gaming is a top model i5 cpu or a i7 cpu. It depends on your budget.
Memory can be anything, but I got a liking for the Corsair Vengeance range. Good quality and bang for the buck.
Motherboards. I am an MSI guy, but Asus is a good alternative. Choosing a motherboars is basically looking to how much inputs/slots you need now and how much you think you might use in the future. So you need to do some planning ahead, or at least take a guess.
So you'd look at if you need 2 usb ports or 10, 4 sata slots for your drives or 8. That kinda thing. One pci-x 16x slot or maybe 2 slots for SLI. Maybe you'd like an extra pci-x 1x slot for a good soundcard (soundblaster or xonar) and another one for a capture card like an Avermedia Gamer Live HD or whatever it is called.
I would always choose an SSD as your Windows boot/installation drive. Grab one of at least 256GB as games will write their savedata and settings to your my documents folder. Which can sometimes take up quite a bit, especially with a games list on Steam as me (300+ games).
For a harddrive I would personally grab a 3TB WD Black drive. I need a fast drive as I want to install my games on it, but I want low load times with those games. If a 3TB SSD was an option I would recommend it, but currently you'd need to sell some organs.
Case... totally your pick. I prefer big towers personally. The extra room makes it nice and comfortable to work in. I own a Coolermaster HAF X myself, but there probably are better cases out there.
Case cooling. Most cases come prefitted with fans, so no need to buy any... unless you want to of course. Refer to the case specifications sheet to see what fan sizes will fit in your case.
Powersupply... I have been using Coolermaster power supplies and haven't had issues. Others might also wish to share their experience.
Ehm... lastly cpu cooling. I use a Noctua NH-14D as its more silent than the waterpump of the Corsair H100 set I once tried. Air cooling will always be safer than water cooling, as a leak can quickly form due to a small mistake.
Eh... that was the short explanation to get you guys started. I hope it helps.
