You will need to consider several things:
1. CPU - Intel is better than AMD but slightly more expensive. But it's worth it. An i5 is probably all that you need if you are just gaming. If you want to overclock then make sure you get a K series CPU.
2. CPU cooler - Stock air coolers are okay but can be noisey. If it's in you budget then look at a Corsair or Coolermaster closed loop liquid cooler. They will be quieter and cool really well.
3. Mobo - Motherboards come in many styles with many bells and whistles. Figure out what you want but consider this: For gaming you will want a decent GPU. New GPUs will be PCIe 3 capable so make sure the Mobo is PCIe 3 as well; and make sure that the PCIe3 lane is x16 capable. This will make sure you do not have any bottlenecks. If you are planning to use crossfire or SLI your graphics cards in the future, make sure the Mobo is capable of that and look for multiple PCIe3 lanes which should be at least x8/x8 with two GPUs. (Finding a Mobo that can run x16/x16 would be great but probably a little overkill and more expensive).
4. Memory - For gaming get at least 8 GB. That will be more than enough, though if you can afford it get get more. Make sure you select memory that is comparable with your CPU and Mobo. To prevent bottlenecks get at least DDR3 1600 that is XMP capable. Again, if you can afford it get faster memory, though if you read some reviews on TH you'll find that there is a point of diminishing return (speed v. price v what you notice). There is a lot of good memory out there. Corsair and Gskill seem to be the top two. I've used both and found that Corsair is more expensive than GSkill (mainly you're paying for the name). I'm using Gskill now and it's wicked fast.
5. SSD - there are many opinions on which solid state drives are the best. One thing for certain is that once you go to a SSD you'll notice an immediate per performance boost. Make sure you get one that is 6GB/s and make sure your Mobo has at least one, if not two SATA 6GB/s connectors.
6. PSU - I'd get at least 750 watts but depending on what you plan to put in (fans, GPUs, sound cards, etc.) you may consider 1000 or 1200 watts. To make you build easier, get a PSU that is modular which allows you to only use the amount of connectors you need. I like corsair PSUs but there are so many good brands, just read the reviews on TH and make a choice.
7. Case - cases come in all shapes and sizes. I prefer using full towers. This allows for greater airflow, easier access inside the case, and the placement of more fans. Like what I said with PSUs, read reviews on TH and find what you like.
8. Case Fans - Same as PSU and Cases - find out how many you can put in your case/need and make a choice. I really like Cougar products they are quiet, move great air, but are expensive.
9. Cables and tie downs - if you need to buy any cables that are not included with components that you buy, try to by rounded. They are easier to run and allow better airflow in the case when you run them. Also, when you build, run the cables in a manner that maximizes airflow and use tiedowns/zip ties to secure the cables to the case.
10. GPU - Graphics processors are changing day to day. read the reviews on TH to figure out what you want. I prefer NVIDIA products. One thing to consider is that once the rest of you build is complete, you can always upgrade your GPU at a later date. But you want some type of independent GPU. The ones on the CPUs are crap for gaming compared with an I GPU.
I hope this helps a little. The key is to do your research, read the reviews on TH and the. Make your decision.