If you are on a budget the best thing you can do is:
1. buy a nice case. bigger is better, as you will be able to fit almost anything you will need into it.
2. buy a good psu. I'm a big fan of Silverstone. The ST1200 is 80+ certified. Don't get anything that isn't 80+ certified.
3. buy your hard drives and dvd burner/readers/etc
For best results the next step is to save your money and wait til you can buy these at the same time:
1. mobo
2. cpu
3. ram
4. gpu
Those 4 items get upgraded so fast nowadays and for best results you should get them at the same time.
All of my custom computer build parts were bought from Newegg. They have good prices, good customer service and a good return policy.
Side notes:
1. Anti-static wrist band thingers. I have never used them while building my computers, but I have also been very careful as not to build up static charges or touch a plugged in psu to discharge them. The less clothes you wear the less chance of static build up. I usually build in my boxers
2. Cable management. The less cables you have the better your airflow, which is why a modular psu is always good. Also try to tie the cables together with something if you can. Twist ties work nicely and are easy to undo.
3. Fans. Bigger isn't always better when it comes to size. Look for higher CFM's. Also, 28db isn't that loud.
4. Watercooling. If you don't know what you're doing I don't recommend this, but you will get the best temps you've ever seen on a good setup. Just remember to leave the computer off and unplugged for a day or two while leaving the water pumps on to check for leaks. If you're computer is off and it leaks no harm done, just wait for it to dry. If it leaks while it is on be ready to shell out for AT LEAST a new mobo.