I'd recommend Newegg for buying and reviewing components. Their prices are decent and their customer service is very good.
I'd also recommend Tom's Hardware for reviews and learning about computer components in general.
A quick breakdown of components you'll need. This is obviously over-simplified.
CPU: The CPU carries out instructions that are performed by the computer. It's traditionally considered the "brain" of the computer. Although important, for gaming you do not need an amazing CPU because most of the stress will be on the GPU, as described later. Intel and AMD make CPUs. I personally prefer Intel, but you can often save a little money with AMD.
GPU: The GPU is a specialized processor that performs vector math. The GPU takes over the processing of graphical instructions that would otherwise need to be performed by the generalized CPU. In this way, the CPU is free to do other things while graphics are handled in a more efficient way by the GPU. Because of this, if you're doing graphic-intensive tasks, such as gaming, you'll want a very good GPU. nVidia GeForce and AMD (formally ATI) Radeon are the two most popular GPUs.
Memory: Memory (RAM) is responsible for how smooth/fast your programs run. The more RAM you have the more programs you can have open at a time (which is nice if you like to browse with many tabs). RAM is easily the 2nd most important component after GPU for a good gaming experience. You'll definitely want at least16GB. A lot of companies make memory, such as Corsair and Kingston (HyperX).
Storage: Storage holds all of the data on your machine. When you open a program, it is loaded into memory from storage. Because of this, you want your storage to be as fast as possible, or you'll spend time sitting around as things load into RAM. Traditional Hard Disk Drives (HDD) are very cheap but very slow. They come in several speeds, but you'd likely go for 7200RPM. Solid State Drives (SSD) are significantly faster but more expensive. I highly recommend a tiered system in which you have a 128GB-512GB SSD which holds your OS and most of your games and then a large 1-2TB HDD that holds other media. Companies like Sony, Samsung, and Intel make SSD while HDDs are made by Western Digital, Seagate, and others.
Motherboard: The mobo performs several functions. It provides the connections that allows all other components to communicate with each other, it handles I/O to peripherals (Keyboard, Mouse, Audio, etc), and it performs important staging functions to the processors. As you may imagine, a good mobo is important or your expensive components will be bottlenecked and worthless. Many companies make motherboards, but I always recommend Asus.
Power Supply Unit: As the name suggests, the PSU supplies power to the machine. It is incredibly important the PSU can handle the load of the computer your you will damage your components. The maximum load of all your components should never exceed 80% of the maximum power your PSU can supply.
Optical Drive: A simple DVD/CDRW drive is sufficient for installing the OS and perhaps watching movies. If you plan on having this be your media machine, you may want a BluRay drive.
If you're serious about building your own machine and want help, just let me know and I can help you go through the process of picking specific components.
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brainbombing em'
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