I buy all of my parts from newegg. they have awesome customer service and fast response times. I'm not very comfortable ordering off ebay unless the buyer has 99-100% positive feedback with a rating of at least 500.
The first step you want to take is decide what your budget is. there are so many choices out there, it's easy to say, well I could spend the extra 50$ and get a 200 GB hard drive instead of a 120.. etc, it adds up quick.
second, you will want to piece together many different setups. do some research and decide if you want to try amd or intel, nvidia or ati, maxtor or western digital, asus or gigabyte, etc etc.. there are so many different brands out there. Take any reviews with a grain of salt, as most reviewers will tend to be biased towards or against the product partially just because of the brand name. ie intel guys will bash amd, and amd guys will bash intel.
once you have weeded your choices down to 2 or 3 systems, post up on message boards and see what others think. again don't take their responses as the end all be all solution, just use it as guidance.
Once you have your perfect system, start ordering the parts. once all the parts arrive, plan out how you want the wiring to run, where you want to stick the drives, what IDE, SATA, or SCSI (not likely for a first pc) channels you want which devices to use. then put the motherboard mounts in, then the motherboard etc. before you know it you'll have your computer built, then put in the power supply, get power to all the devices, get the data cables hooked up (make sure you ask questions if you have any), and remember rule #1, if it doesnt fit, don't force it.
ask questions every step of the way and you should be able to build an awesome pc with your own 2 hands
