How much experience do you have? It's not that hard, but there are some processes you want to follow, and honestly, unless you know what you're doing it can actually be MORE EXPENSIVE to build yourself than to have someone customize your rig.
What I did was look up all the parts I wanted, based on my budget on NewEgg.com (seems to be the most reliable web site out there). You'll need, at minimum, and assuming you already have a monitor and keyboard/mouse you like:
Case
Motherboard
CPU
RAM
Hard Drive
Video Card (do not rely on on-board video for gaming!!)
Optical Drive (CD or CD/RW, with DVD or DVD/RW recommended)
Case Fans
CPU Fan
Cables (IDE or SATA for the HDD, IDE for the optical drive should be it- MIGHT come with the mobo, depending on brand)
What you don't need:
Sound card (most mobos have very good 6-channel audio right on the board
Networking card (same as above)
Video Cooling fan (comes on-board with video card)
What you might want to have:
Flash Drive
Lights
Cooling Fan Bus Control
What I did was part the whole thing out on NewEgg, then I went to a local PC store, list in hand, and asked them what it would cost to build a custom system WITH THE EXACT SAME PARTS at that retailer, and I was amazed to discover that they came within about $200 of my part price. And the retailer gave me a 2-year warranty on the entire thing, as opposed to the 90-day warranty on my parts. That alone was worth the extra money.
So, unless an extra $200 is a total deal-breaker for you budget-wise, I’d pick your budget, research the parts individually (based on extensive hardware reviews- I like Tom’s Hardware personally, but Google will be your friend here), and then find a local retailer and ask them to custom build you that same system.
If the construction aspect is the thing you want to have fun with, then by all means just order parts and start building! =)
Good luck and let us know how it goes! :cookiemon