So it used to be the case that it was always cheaper to build your system than it was to buy it. However probably 5-7 years ago that rule inverted in that it was generally more expensive to build your own system than it was to buy it. The reason you build them now is because, you like it, your want a really custom system, or you want to reuse some parts(which may make building cheaper).
Alot of the sites people have listed are good resources for parts reviews etc. Depending upon where you live newegg can be a great resource or amazon or a few of the smaller set of retailers.
I built my current desktop/work machine last year but it's designed to be a high end compute machine/media server(since I do high end alg work) so it may not be that representative to you(it's a dual Xeon system), but if you all want to know I'll list all the parts and why I picked each of them over other alternatives.
One thing that wasn't mentioned that's worth considering is thinking about power issues. If you only plan to turn it on a bit each day then it's probably not a big issue. BUT if you plan to leave it running 24/7(say a media server) then you choices should consider power aspects. Because I know my system may be running often I chose to select a more efficient power supply to try to conserve power. Over the long run the less power you use, should make up for it.
I chose an 80PLUS gold rated power supply. You can read about what 80PLUS means here....
http://www.plugloadsolutions.com/80P...rSupplies.aspx
This is the specific power supply I chose.
http://www.corsair.com/power-supplie...-2/ax1200.html