Best advice - don't go for the dodgy cheap brands.
My favourites:
Motherboards - ASUS, Gigabyte, Aopen
CPU - AMD (cause they're cheaper and do the job - BUT make sure you have an aftermarket fan, standard size fans don't do the job)
Hard disk (IDE)- Seagate (look for low seek time), IBM
Video - Leadtek, Hercules
Sound - creative.. I'm not up on the latest DD5.1 technology for PC.
Minimum 256MB RAM
Funky looking case with 300W Power supply.
Whenever buying a product, check
Toms Hardware. See how they perform and purchase whatever suits your budget. When buying a CPU - I go for the middle of the range in terms of speed.. never buy the most expensive because in two weeks you can guarantee it'll be cheaper. I always go for the latest and greatest motherboards.. stay away from onboard video cards if you're after performance.. onboard audio isn't such a worry... just disable that in the BIOS.
Build it yourself.. it doesn't take long.. about an hour or two if you're a newbie.. Plug it all together using antistatic precautions, follow the manuals provided.. connect your power/hdd/reset/pc speaker leads, set the CPU clock speed and you're all done.
If you've got plenty of $$$, forget the IDE Hard disks, go for Ultra3 SCSI or whatever the latest is.. that will require both PCI SCSI controller, Wide SCSI (68-pin) cable and the SCSI drive itself. They're heaps faster.. and make a huge difference. Make sure you get an extra fan inside to keep it cool.
Good luck with it.