It's just knowing about what type of hardware is out there and how it performs I guess. I'm doing the exact same thing you're gonna do. I've selected the parts, which I'm going to put into my existing case.
I've never done it before, but here's my points on what you need:
1. Something to put it all in - A case, in other words.
2. A good PSU - Look for the amount of Watts. The higher the better
3. The actual computer itself - This includes the motherboard, CPU, RAM, GFX card, sound card (most motherboards have on-board sound cards, so if you're not picky, you can just use that).
4. Hunt around. Get the cheapest Internet prices (from stores that are in your country of course), copy the prices and the sites down and take them to computer stores. You'd be surprised at how cheap you could get it.
For my future PC, I'm getting an AMD Athlon 64 3200+, ABIT AN8-V motherboard (which has PCI-E), a gig of GeIL DDR400 PC3200 RAM and a GeForce 6600 GT 128mb PCI-E graphics card. This is setting me back by around $850AUD.
If you're looking for something that will sustain you for a while, this is a fairly solid rig. jaardsi is getting something quite similar to it as well.