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Depends what you want your PC for. I built one last year and I got all the parts on http://www.pricewatch.com
I would recommend using a single supplier because all the shipping costs involved getting everything from different places.
Some things to keep track of that you would not normally worry about:
-Get an AMD chip unless you want top notch performance or like to throw money out the window. I would suggest 2-3 rungs below the top of the line since they have the best price/performance ration IMO.
-Get a goof mobo. I've never had a problem with ASUS. I got one that had a GeForce 2 integrated, on board sound, ethernet USB etc for $80 and it saved me a ton of money.
-Remember that money you saved on the CPU? Use it to pump up your RAM as high as you can. I think you can get more performance for your money from memory than CPU muscle. Don't hesitate to get a good brand of memory, with lesser brands bad sticks can be really common and a pain in the butt to mail back, wait for a replacement etc.
-Don't overclock. The risks are not worth the performance gains any more. Plus you will void your warranties.
-Go to Tom's Hardware web site and read the guides, they have some really nice illustrated ones on building the PC.
-Make sure yo get a good power supply/case combo. A good power supply means you can upgrade painlessly and bad ones can fry really easily.
-Don't hesitate to scavenge off your existing systems. I took the hard drive from my old Compaq POS and put it as a slave/MP3 jukebox in my new machine. I also scavenged the CDRW and floppy drives.
-Don't forget to order small things like fans,thermal paste, cords (sometimes CDRW and DVD drives will come wihout all the cables, read the product description carefully).
-Your biggest expense will be software (unledd you want to run Linux or BSD's). If you plan on putting WIndows on there it will cost you a lot (there will be no bundled software from a PC manufacturer so if you want to do anything you have to shell out money). Of course you can always slap an old version of Win 98, load Kazaa and become a pirate arrr....