Also, you might just ask around on forums (such as this one) about specific parts or what people wish they'd done differently etc.
Question: Are you building a computer because you'd like to or because you think it's cheaper? If you're doing it because you want the experience, then jump right in with both feet. If you're doing it to save money you might be surprised how cheap Dell and others start looking after awhile. The competition has gotten prices down so low they are hard to beat anymore (this certainly wasn't the case a few years back).
Anyway, I built my first computer a couple years ago. I wish I'd bought a better motherboard (don't skimp on this). I wish I'd bought a better case -- the one I got feels thin and cheap. And I wish I had read that AthalonXP's like to have a power supply with a fan inside facing the processor. This hasn't caused any issues, but it would have gotten my case temperature down several degrees.
Good luck with your project and please post updates and/or questions as they come.
For current happenings with computer hardware, I go to www.bluesnews.com and scroll down to the hardware review section. Bluesnews is a gaming news site, yet I find it to be the best place on hardware news, with simple links to the sites mentioned already in this thread. The layout of bluesnews is fast and efficient (except for the ads hehe).