Selecting your components is probably the hardest task. You should first ask yourself: what am I going to use this computer for? Many parts depend on what use the computer is going to have. For my build, I built it around the idea for a gaming computer, but it all depends on your opinion at this point.
First off, you have to figure out what parts you need. Below is a general list of the parts you will need.
My Parts
These are the basic parts required to run a fully functional computer, but there are several other parts that increase performance, connectivity or just make the computer look nice. A few of these kinds of parts follow:
Choosing where to buy your parts is completely your choice. Whether it be from a local computer shop, an online retailer, or from other sources (ex. a friend). Be careful when buying used parts though, as they could end up being defective. Online retailers usually have the best selection but you'll have to deal with shipping costs. Local computer shops probably won't have as large selection, but you won't have to pay as much shipping costs.
I bought my parts from multiple retailers, to get the best prices for everything. I checked multiple retailers, over the course of a few months to find my parts. My choices then compared to what I bought were almost nothing alike. Doing your research is almost necessary for choosing parts if you were someone like me, who knew next to nothing about specificatons and such.
I searched for a few months, and gathered information on how to build the computer. After I decided, I went and chose my parts based on many part lists (some already people had built, some I made myself on ca.pcpartpicker.com).
Because I waited to choose all my parts, I actually passed the release date of a new graphics card (the GTX 770) and I found it to be better than the GTX 670 I was planning on putting in. So waiting can have its benefits.
As mentioned earlier, i bought my parts from multiple retailers, but i checked out many more to find the best prices (I was on a budget). I live in Canada, so stuff here is a bit more expensive then the U.S.A but I made do. First I used newegg.ca seeing as how the US site was recommended as well.
I eventually bought my parts after a few months, but you don't have to consider this much. Just remember, this is your money you are spending.
The main purpose of my computer was gaming and maybe a bit of light video editing. I focused most of the budget towards the CPU and Video Card. These are probably the more important parts for a gaming PC. It is always good not to overspend on one part because this will most likely cause something called a bottleneck. This will hamper the performance (even if you did get that $1000 Video Card. Yes those do exist). This is where the research on parts comes handy. You should know what kind of parts should be better than others.