GPU
For Gaming, the most important part would be the GPU. A lot of games rely heavily on the graphics card, so spend more on the GPU than the CPU.
Some graphics cards are also Crossfire / SLI enabled. That simply means that you utilise 2 of the same Graphics Cards power. It's not recommended for tight budgets as you need more expensive motherboards, stronger power supplies, as it consumes a lot of power and produces a lot of heat. It's better to buy a single stronger GPU.
CPU
AMD's CPUs are usually cheaper, but motherboards that support their chips cannot be found in smaller sizes. AMD's CPUs also have more cores than Intels' , but Intel's CPUs have stronger cores. If you can afford it, go with Intel, but if you can't , or if you have applications that are ideal for AMD CPUs, not pick them.
AMD CPUs are also the cheapest way to try overclocking as their CPUs ,especially the FX Series , have unlocked multipliers to help in overclocking. Intel CPUs with a " K " behind are overclocking ready. But they usually cost a bit more, so if you're on a tight budget, don't go with overclokcing, spend more on the GPU.
CPU Cooler
Do you need to buy a CPU cooler ? No. Most CPUs come with a stock CPU heatsink and fan that will do just fine. But they can be quite noisy. If you're overclocking, or if you feel that the stock cooler is too noisy, then a CPU cooler is recommended. The classic heatsink + Fan configuration is the cheapest and most cost effective. There's always water cooling, but it's more expensive.
Motherboard
People usually go cheap on their motherboards and regret it in future as they picked a motherboard with very little slots. So when choosing a motherboard, choose one with a few PCI slots, USB ports, and SATA ports as you might need them in future.
Some motherboards are also designed for overclocking. They are more expesnive, so if you're on a tight budget, don't go with overclocking.
RAM
It's actually fine to go cheaper on RAM. Any 2x4GB sticks of RAM from a decent company will not make much of a difference as compared to higher end companies such as Corsair. Some RAM sticks are also designed for overclocking, but like I said before, it's not very cost effective.
PSU
People usually buy " overkill " power supplies nowadays. A few years ago, it was the complete opposite. People biught terribly cheap PSUs that high high failur rates, and low efficiency. Note that there's a difference between quality and efficiency.
Read this chart for more help.
http://www.tomshardware.com/forum/id-1804779/power-supp...
Seasonic Makes the best power supplies
Case
You can never go wrong with NZXT or Corsair's cases. They are the top 2 case manufacturers that make the easiest to build with and bets looking cases. I personally look for cases with an open front mesh , 2 front intake fan mounts, 1 rear exhaust fan mount, and a removable HDD cage
HDD
Not much to say. Get the Western Digtal Caviar Blue 1TB. Most value for money.