My god... somebody with an "AMD PWND" avatar has made the most intelligant post I've seen all day...
He pretty much summed it all up, but I'll add my two cents. ASUS and Gigabyte are of course good, but eVGA makes good boards if you have your heart set on SLi, not that I'd recommend it. They're X58 boards are some of the best, as well. MSI is good twom, Foxconn is alright.
OCZ, Corsair, Crucial and Patriot make the best memory, but don't pay too much premium for so-called 'high-end' stuff. Get the cheapest memory in the speed catagory you're looking for that isn't no-name or requires more than 2.1V, especially if you're running a cheap motherboard.
Corsair, OCZ and PC Power and Cooling make the best power supplies.
XFX, ASUS and eVGA make the best nvidia cards, XFX, ASUS, Sapphire, MSI and HIS make the best ATI cards.
CPUs I'd recommend, based on budget, would be
Pm e5200 < Ph2 720 (DDR2) < Ph2 940 < Ph2 955 (DDR3) < i7 920, any more than that and you're pissing money.
Look for HD4770s, HD4850s, HD4870s, or GTX260 Core 216s, and GTX 275s.