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Lots of good advice here so far, so I'll try not to rehash most of it...
1) where to buy ? online retailers generally have the best prices. pick from a good one like http://www.newegg.com">Newegg Directron" rel="nofollow">http://www.directron.com">Directron, but watch the shipping charges - they can eat your cost savings fast. Fry's or MicroCenter aren't bad, but they often don't have the best prices. watch their ads for sales and rebate offers.
2) figure out what you want to do with your system. gaming ? go for a fast Intel P4 on an Intel chipset motherboard and an ATI or nVidia graphics card (one notch down from top 'o the line, if you can stand it Linux, email, web surfing, etc...but no gaming ? go for an inexpensive AMD-based setup. my Linux box is an AMD Duron at 1.2 GHz and an ATI Rage 128 graphics card (ATI card cost < $30 at Newegg).
3) cost/performance ratios. you'll notice cost/performance ratios go up in a linear fashion until you near the top of the line stuff, then they go exponential try to buy at or below the point where prices skyrocket up. that last 10-15% performance gain can REALLY cost you.
4) don't skimp on some things. buy good quality RAM (Crucial, Mushkin, etc...), a decent power supply (Enermax, PC Power & Cooling) and a case that you can get into easily & not cut yourself on (Chieftec seems nice).
5) check http://www.dansdata.com">Dan for level-headed reviews of cases, CPU coolers and graghics cards.