I'll let you have at it, but here are general items and suggestions. Normally the CPU will list the socket it requires in the description, and you can always check the motherboard site to see what CPU's it supports. For your price range you will see a big difference in each $100's extra you spend as you get quite a bit more each step up. A $600 build will be FAR better than $400. also, what components do you have or can reuse. For example DVD drive, Hard drives, OS (do you need an OS to fit in that budget, 7 or 8?), etc.
CPU: On the low end I would look at Intel Pentiums or i3's. Both Sandy Bridge and Ivy Bridge are socket 1155. I would look at an H77 or Z77 motherboard. I would stick with H77 as it is cheaper, but limits any overclocking. There have been some really good deals on Sandy bridge chips so look for those.
Memory: I'd try to fit 8GB of DDR3 RAM 1600 (1333 is fine to if it saves you some extra $$ but it usually really close). If you drop it down to 4GB you can safe a few bucks, but alot of H77 boards only have 2 slots for RAM so to upgrade is to replace, better to get 8GB off the bat.
Motherboard: H77 ASrock would be cheap and good
Case: whatever has good reviews and you like the look of. Make sure it has at least a rear exhaust fan. Look for free shipping and any promo codes.
PSU: depending on what video card you can run you are looking at something like an Antec 380W or Corsair 430W. Somewhere around there. Look for deals again.
Video card: An AMD 7770 would be a good place to start and work your way up from there. Typically the AMD cards outperform Nvidia at the same price until you get to the GTX660.
HDD: I've seen some good deals on 500GB Seagate or WD drives, look for them.
Optical: Just your normal DVD Burnder with SATA interface. I stay away from LiteOn, as I've had a few die on me.
OS: I think there is a promo code for Windows 7 for $20 on Newegg, look for it if you need it.
There is some general stuff to look for. Half the fun is looking for deals and trying to outdo each build. I stick with Newegg as they are very easy to return stuff to if you have issues. Look for deals, free shipping, and MIR's. Once you put something together we can tweak it. I usually like to see people have their own try at putting something together and then tweak it.