Sure, the components should match each other. It makes no sense to buy 800 MHz RAM with a quad-core CPU that supports 1333 MHz, and vice versa, as the whole system will run at the slower speed.
And the choice of your mainboard of course restricts you in which options will work at all.
Price is an issue as well. Unless you have a few millions to spare, and don't worry whether you spend €1000 or €4000, having the newest stuff means you're paying many times more than using yesterdays stuff (which will run current games just as fine). Compare €100 for a nice dual-core CPU with €1000 for the hottest quad-core CPU (the "quad" means squat with current games).
So, make sure the 3 parts you buy match together in the "price range" as well. I.e., running a €1000 quad-core CPU in a €59,- board sounds somewhat fishy, and running a €39,- Celeron in a €300 Asus Striker II Formula would be weird as well.
It's all a different story if you are upgrading; then it may make sense to upgrade single parts at a time, and have "incompatible" items for a while (until you upgrade the other stuff as well).