In my limited experience, building a PC is all about getting a balance you like between a few of the more expensive and specific components. These components are the CPU, the GPU (graphics card), and the Motherboard (MoBo).
The first big question is, "which one of these three is most important"? If you are gaming, the GPU is probably the most important. If you are wanting to do batch photo editing, you probably want a screaming CPU. If you want to hang a gajillion things off the MoBo, then you might want to pay more attention to it's available connections.
Assuming you are after a gaming PC, your first stop is Tom's Hardware Best GPU (or the latest version of this article.) Here you will find the latest and greatest of the gaming GPUs. You may also want to look at their best budget GPU line up as well.
Key things to pay attention to for your GPU selection is how it attaches to your MoBo, and what kind of outputs it has. If you want HDMI, you are in luck, almost everyone has that.
After you have a GPU picked out, it's time for the MoBo and CPU. Once again, Tom's Hardward has the goods for CPUs . Check out what they have to say and find one that works for you. Remember to pay attention to what socket it uses, as that determines how it interfaces with the MoBo. Tom's Hardware Motherboards will help you pick out a good one, but now you really must pay attention to the socket for the CPU and the connection for the GPU.
Once you have a GPU, CPU, and MoBo that all work together nicely, go over to PCPartPicker and put your choices into their fantastic site. Then start adding components. You'll still need a power supply, memory, a cooling system, a hard drive or two, a case, and anything else you want to attach like a WiFi card etc.