When choosing a cpu you basically want to just check reviews and see whats best for your budget. If you're building a computer today your choices are basically between AMD and Intel and single (real low end) dual, tri, or quad core. More cores are better for multasking and some games but cost more where as less cores can typically be bought cheaper and will have faster speeds per core compared to quad cores of the same cost. Note- Core i7 only comes in quad core.
When choosing a motherboard you want to find one that has the correct socket for the cpu that your going to use. Common sockets for Intel right now are LGA 775 and LGA 1366 with 1366 being the newest and most high end, there is also a LGA1156 coming soon that is replacing LGA775. AMD has AM2, AM2+, and AM3. Once you have the right socket selected you want to figure out how many ram slots you want, if you want on board audio and/or sound, how many sata connections, and then random other things like wifi. But for the most part as far as compatibility goes you just need the right socket and ram type. So if you were to go with the newest and best you would get a LGA 1366 with 6xram slots for tri channel.
For ram you basically just look at what the motherboard takes. If you bought a LGA 1366 you would want to get DDR3 with a speed of at least 1066 (so DDR3 1066 also known as PC3 8500). Now you can get faster ram like DDR3 1600 if you want and if your going to overclock then you would want to. The other thing to look for is timings which will be numbers like 8-8-8-20, in this case lower is better. Also if you got a LGA 1366 with tri-channel support you would want to buy a tri channel kit. That way you will get 3 ram sticks that are basically the same and can be ran togther for better performance. If the board has 6 ram slots you can get 2 kits but you don't have to. If this was a AM3 board you would get a dual channel kit which would come with 2 sticks of ram.
Note- you don't have to run tri channel or dual channel but its faster. Also you don't have to buy the ram in kits but if you're getting all new stuff its best to because it gurantees that they will work togther.
Pretty much any gameing card today is going to be PCI-E 16x or PCI-E 2.0 but pretty much any motherboard with PCI-E 16x or 2.0 will work. 2.0 is newer but a 2.0 card will work in a 16x motherboard and vice versa. 2.0 does offer more bandwidth which is good because a card that can use that bandwidth will run better on a 2.0 slot compared to a 16x slot. But the performance difference will only be there if the card needs more bandwidth than 16x can supply. And I'm not sure if any cards use that much bandwidth yet but if there are some that do then its only the newest highest ends cards.
Also note that Graphics cards have many different types of ram with the most common in high end cards being GDDR3 and GDDR5. This ram has nothing to do with the motherboard so even if a motherboard says it only handles ddr2 these cards will work fine.
When looking at cards remember more ram does not always mean its faster. For example you will often times see entry level cards with 1GB of ram but that won't really perform better than one with say 256MB. But a higher end card could benefit from more ram depending on resolution. For example a Radeon 4870 512MB is much much much faster than a Radeon 4350 1GB. Note on ATI cards the first number is the series and then the rest will kind of give you a idea of performance. For the most part the bigger the last 3 numbers the better the performance but there are exceptions like the 4770 being slightly better than the 4830.
It is possible to have multiple Graphics cards. Nvidia has SLI and ATI has Crossfire. Typically speaking you won't see double the performance by having 2 cards but it can help. The amount of difference depends on the game. In order to have 2 cards you need a board that supports Crossfire and/or SLI and it needs to match the cards your using. So if you have a Crossfire board you can't use 2 Nvidia cards (but if you only run 1 card then you can use Nvidia, or you can use a ATI card for Graphics and a Nvidia for Physx). Typically speaking you will need to have 2 cards that are basically the same. So 2 4870's or 2 gtx 260's. You can't run a gtx260 and a gtx275 together in SLI (but you can set one for gaming and the other for physx). There are some exceptions to having to have the exact same card though, for example you can have a 4870x2 (which is basically 2 4870's on one card) and a regular 4870 to get tri-crossfire or tri-fire (but I'm not sure how well that works).
dvd drives and hard drives have different kinds of connectors. The main 2 used in home computer are ide and sata, with sata being the newer and better one. If you're buying all new stuff then get Sata but if you were using a older (much older) motherboard you would want to check it to see if it had sata.
Note- There are different speeds for IDE and Sata but for the most part they're interchangable (you might need to set a jumper on a sata2 drive to work on a sata1 motherboard).
For hard drives you have a few choices. Regular hard drives come in 5400rpm, 7200rpm, and 10,000rpm (theres 15,000rpm but thats not normal for a home computer) and SSD (solid state disks). For the most part 7200rpm is the sweet spot because they are fast, can be found in large capacities and only cost a little more than a 5400rpm drive. 10,000rpm drives are a little faster than the 7200rpm drives but only come in smaller sizes and cost a good bit more and can be loud. SSD drives are the fastest but cost a lot for the size you get, these are typically only in higher end builds and even then will usually only be used for the operating system and maybe the most used programs.
***Power Supply Unit***
One of the most common things to be overlooked by a new computer building is the power supply unit (PSU). This is of course the part that supplies power to the computer and is very important. When it comes to finding a good power supply your best bet is to research the brands and find good ones. Because a 500watt psu from one brand might not be as good as a 500w psu from another brand. But beyond that what you want to look for is a power supply unit that can all of the things in the computer. It needs to have enough wattage and also enough amps on the 12v line. If your not sure how much power you need you can use a psu calculator like this one eXtreme Power Supply Calculator Lite v2.5
. Or you can get somewhat of a idea by looking at the system requirements of the video card you plan to run. These requirements usually list a recommended wattage and sometimes amperage to run a basic computer along with that card, every computer's power needs will be different but they usually list the wattage requirement for a decently power hungry computer. I personally like to have about 25% extra power on my psu to be on the safe side, so if the calculator says I will use 400w at 100% usage then I try to get at least 500w.
And try to get a psu that has enough connectors for all the things you plan to run. You can get splitters and converters to add connections to the psu but its best to have a psu that won't need those. If you are going to have 2 hard drives and 2 dvd drives and 1 graphics card that needs 2 6pin connectors then find a psu that has 4 sata power connectors and 2x6pin connectors. I would also suggest getting one with high effeciency because it will save power.
Note- Some power supplies are modular which means that you can remove excess cables which is nice but not exactly needed.
This is personal opinion so basically just use whichever one you want. But know that if you want to play DX10 and soon to come DX11 games you will need either Vista or the soon to come out Windows 7. Also note that 32bit operating systems can only handle 4GB of ram and that includes the ram on the video card. So if you want to run more than 4GB you will need to run a 64bit OS. Unless you have a reason not to I would suggest running 64bit even if you don't have more than 4GB of ram (just incase you get more ram later).