Here's how to make the most perfect machine in the world from parts. The aim of this is to get a machine capable of be the ultimate home entertainment system/gaming system.

[edit] Steps

Select a motherboard. This is a long, extensive process, weighing pros against cons. For example, the Gigabyte GA-MA790FX-DS5 is an excellent socket AM2 motherboard, and the EVGA Nforce 790i SLI is a monster of an LGA 775 motherboard.
Pick the case. What you want is one with room for expansion and lots of cooling options. Thermaltake's Wingo V7420AU1 has some great fan powering with adjustable speeds and supports expansion and water cooling. Lian Li cases are also a good choice. They are made of aluminum and highly expandable.
Get a power supply that supports all the power requirements. PC Power and Cooling Inc. make the most powerful power supplies on the market today. For the ultimate machine, get a PC Power and Cooling 1KW Quad-SLI PSU. Be cautious of high-wattage, inexpensive power supplies.
Get RAM. Corsair's XMS range or OCZ Platinum for high end RAM works well; you can use a pair of the Corsair XMS 3200 2GB pairs so thats 4GB of their best RAM. Remember to get RAM that matches the motherboard. (ie, DDR or DDR2, and a compatible speed, which is the PC2-xxxx number)
Search for a graphics card. The Nvidia 9800 GX2 has two GPUs (Graphical Processing Units). It's like having two video cards in one. Be sure to get a powerful "SLI-Certified" power supply. Another, more recent (and expensive) card series available is the GeForce 8800 series, but it requires a well-built power supply and good cooling to run well (750W in SLI). If you want to play next generation games, get a Direct3D (DirectX) 10 card, such as one from the NVIDIA GeForce 8800 and 9800 series or an ATI Radeon HD 2900 or 3800 series card.
Get a sound card. Although the motherboard has integrated sound it will be not give you the clearest sound quality. Creative is the undisputed leader of sound cards, and their X-FI elite Pro card is amazing; it has a card and an external part with a remote. 9. Realize that a good card is nothing without good speakers. Look for very high end speakers (this requires much research). If you have lots of cash, go for a Klipsh 5.1 surround setup or a Logitech Z-5500 Digital 5.1 setup. An external decoder is a good purchase.
Pick your processor. In 2006, Intel took the CPU crown from AMD with the release of their Core 2 series processors. When looking for a processor, consider the energy consumption, as manufacturers offer many processors with different power consumption levels. If you are the type that is constantly doing several things on the computer, get a multi-core processor so you can run more applications at once. If you want a cool running, responsive processor, the AMD Athlon 64 5000+ Black Edition is a good choice. If you're more into multitasking, an Intel Core 2 Quad will be a better option. If you need tons of power, Intel recently released a new line of energy-efficient, blazing fast processors, the Core 2 Duo E8000 series, but check motherboard compatibility, as all manufacturers haven't added support yet.
Keep your stuff cool. You many want to get a better heatsink + fan combination for your CPU if Many of the best heatsink + fan coolers come from Zalman. For your CPU cooler, for example, take a look at the Zalman CNPS9700 or the Tuniq Tower 120. Or if you've got the money, get a Zalman RESERATOR1-PLUS Fanless Water Cooling System for quiet and if you have a really high budget, get a high-end Swiftech watercooling kit. Both of these systems are quite easy to set up. Choose copper cooling components for the optimal performance. Remember to get a case that fits the cooling system you choose, as water cooling systems or large heatsinks take up some space.
Get your DVD drives. A couple of DVD-RW drives (52x BenQ IDE) should do.
Don't Forget Memory Cards. Get a combo floppy/media card reader/writer from Mitsumi.
Get a TV tuner. If you want to watch/record TV on your computer, you would want a TV tuner. The Hauppauge WinTV Nova-T USB is a very good model.
Choose a decent monitor. One option is the 20" Flatron L2013P from LG. Try choose a brand-name LCD monitor that has a high resolution and has a low response time.
Attach a High Definition TV. Depending on how much you're looking to spend, you could go with the Toshiba 52WM48KIT 52". Get one with an HDMI (recommended)(you will probably need a DVI to HDMI cable), DVI or VGA (now obselete) input to connect it to the computer. Choose one with a high resolution, i.e. 1080p.
Get a wireless router hub and receiver. If you want to have a wireless network, get a wireless router. Any Netgear/D-link/Linksys router should do (Netgear DG834GT is a good one). You will also want a USB or PCMCIA WiFi adapter for a laptop, or a PCI one for a desktop computer.
Choose a hard drive with a big capacity and good speed -- the 750 GB Seagate Barracuda should do nicely. Or you could buy a few lower capacity hard drives and put them together for best performance. Also, if you want the most speed possible, you can buy the WD Raptor. Choose a SATA2 hard disk.
Get controllers if you're going to be playing games. The best is the Logitech G15 Gaming Keyboard, which has an LCD for in-game info and programmable keys like MACROS. For a mouse, you want the Logitech G7 Laser Mouse for extreme gaming and wireless freedom. The new Logitech 'Revolution' is a new mouse that is a great alternative to the G7.
Pick a printer/scanner/fax/copier. The HP Officejet 7410 All-In-One will fulfill all your needs.

[edit] Tips

This is just a specification list - but with all things in computing new products are constantly being released, improving on previous releases and introducing new technologies. There are also numerous alternatives to every item listed here - of equal or possibly better quality - which could better suit your own needs. If you're going to make your own system, there is no substitute for doing a broad and deep research into every aspect of your system.