What pillar said. Decide whether to go with AMD or Intel CPU, then get a motherboard with a socket that matches your chosen CPU aswell as having the features you want.
If looking for a crossfire/sli setup, checking if the mobo supports that is also a good idea.
You'll also have to go for a mobo supporting DDR3, though I doubt there to be any DDR2 mobos still left out there,
and DDR2 RAM in general is more expensive than DDR3 aswell as having less performance.
Get your desired amount of RAM (2x2GB, 2x4GB, 4x2GB etc) with a clock both you and your mobo is comfortable with.
Get a videocard you like, I recommend reading alot of reviews before selecting one. Same goes with chosing a CPU.
Get a harddrive of your prefered size or two if you like (a HDD compatible with 6GB/s SATA is recommended if your motherboard supports it).
When selecting a case, make sure you like it. You'll have it for a long time.
I also recommend getting a big tower if you don't mind the size, as they in general have better cooling and more room for expansion, aswell as making future upgrades alot easier to install.
A SSD might be an option if you have the money for it.
And to get enough juice to your rig, get a good PSU.
A PSU can last for years (had mine for 4 years now) and will outlast several upgrades if you get one with enough juice and quality.
I'd recommend getting a powerful PSU if you plan on upgrading in the future.
If not, I'm sure someone with more experience than me can come up with a suitable PSU.
I'd say 700-900W will keep you safe for years. Making sure a PSU is 80+ certified is also a good idea.
As previously mentioned, reading reviews by both users and tech sites is a good idea. It'll give you an idea of how the parts perform.
Don't hesitate to PM should you need more help.