Newegg has a how to series on computer building. http://www.youtube.com/watch?feature=player_embedded&list=PL291F84A80CA32304&v=lPIXAtNGGCw
Their site is good http://www.newegg.com/Computer-Hardware/Store
but I also recommend putting parts into this http://pcpartpicker.com/
so you can get the best price.
The reason there isn't as much of a chance of damage is that they are packaged individually and are meant to be shipped. If you were to have a prebuilt PC with a good graphics card (GPU) it could easily get damaged. In one of toms articles they mentioned the quarterly system builds they have they now take apart before giving to the winners because so many were damaged.