The biggest benefit of building your own system instead of just buying it - is that you get exactly what you want, not some system vendor's idea of what you should want.
The first thing you need to do - before anything is RESEARCH! Rolling your own does take a LOT of time especially if you're not familiar with the performance of various parts vs other similar parts.
One thing that must be said now - ALL hardware is "on it's way out" the moment it's put on the market. Think about it. The latest and greatest video card that just got released today is going to depreciate in status as being the "bleeding edge" - simply because the NEXT generation of video card is already being developed and will be released soon.
So.. Where to go to find out what parts to get? Tom's Hardware and similar sites offer tons of comparison info on various chips, chipsets and the like.
The first thing you will likely need to do - is figure out which way you want to go - Intel or AMD. While both offer Windows compatibility, the two rivals no longer are compatible. In other words, you can't stick an AMD chip in an Intel motherboard and vice versa. They are NOT pin compatible and haven't been since the 80486 days. The good news in all this - once you've got the CPU and motherboard figured out, there isn't any other component you will run into that will be incompatible. If a part is on the market, odds are excellent there will be either native drivers built into Windows, or 3rd party drivers provided by the manufacturer.
Intel offers higher performance - but that comes at a price. AMD offers slightly less performance but at much lower prices. Since you mentioned your funds are limited, AMD might be a better way to go. You will get more bang for your buck that way.
The next thing to consider is the OS you will be installing. You might be thinking "EH? Why?" The answer is simple. Odds are you're going to be installing Windows 7 - and Win 7 comes in two flavors - 32 bit and 64 bit. The 32 bit version offers slightly fewer problems running older legacy programs than the 64 bit version, but the 32 bit version is limited to 4 GB of RAM. Actually, the maximum available RAM is somewhat less given that all devices use up some memory space and that memory must fall into the 4 GB limit. For instance, if you've got a video card with 1 GB of video memory, that means you can have a maximum of about 2.5 GB of free memory under a 32 bit system - remember, there are other devices that require some memory space to make them work.
The 64 bit version varies as to the maximum supported - but since we aren't building this system on Bill Gates' tab, we'll settle for 8 to 16 GB of RAM. While it might be cool to have 192 GB of memory, it would cost a small fortune.
The next thing to consider is which version of Windows 7 you need. Are you going to be connecting to a business network with a server and domain controller? If so, Professional is the way to go. Otherwise, the Home Premium version will likely do the job. Ultimate is only needed if you're working on something that's top secret and requires encryption.
Now then... We've got the motherboard, CPU and Windows version sorted out, we can plan accordingly. If you're going for the 64 bit version, I'd suggest putting as much RAM into the system as you can comfortably afford. 8 GB is adequate today, but we're building this beast for the future too - so if you can swing 16 GB, all the better. One more thing - make sure your motherboard has enough slots for memory. Some budget boards only have 2 slots - which makes it more expensive to expand. The more RAM on a stick of memory, the more it costs. So it's better to have 4 slots. Having 2 - 8 GB sticks of RAM may be more expensive than buying 4 sticks of 4 GB each.
One more thing about RAM - having a dual or even triple channel configuration is always better. Dual channel means that programs and data are stored in an interleaved format - sort of like a RAID array. instead of using one stick of RAM, and when that gets full, it starts using the 2nd, 3rd and 4th sticks sequentially, it uses all available sticks in a striped configuration - meaning the 1st block is on stick 1, the 2nd block is on stick 2, etc... This makes accessing data faster since the controller can retrieve blocks of data from all sticks at once. It's therefore best to buy a matched set of RAM.
Now the system is starting to come together. We still need more parts.
The big question - WHERE to get these parts. Sadly, many of the brick-n-mortar retail places I've gone to buy parts have gone under. This leaves Fry's Electronics - which isn't my first choice for buying anything computer related and the Internet. I could write an entire series of posts on why Fry's is not the best place to shop, but that is a series of rants for another day. Fortunately, there are several places to go shopping online - NewEgg and TigerDirect being two of them. The key thing to do is to look for a few different configurations you like and go shopping. Find one that fits into your budget and go for it. By all means subscribe to NewEgg and TigerDirect's daily emails and do some bargain hunting. Different stuff goes on sale every week.
And as much as it pains me - Fry's Electronics can on occasion have a good price on stuff. Visit www.frys-electronics-ads.com to view their In store specials online. Bear in mind, their online prices may vary from what they're selling the product for in their retail stores. Also: Buyer Beware! Avoid ANYTHING Fry's is selling with a sticker that says something to the effect of "This package has been opened by a customer". Odds are the discounted price will NOT offset the headaches involved, the inevitable return trip, the time wasted standing in the return line, dealing with the people in the returns section, etc...
Video cards... These days there are only 2 real major players in the graphics market - Nvidia and AMD. While it's true that Intel also makes a few chipsets for video, they generally offer less performance that either Nvidia or AMD. Given you've mentioned you're planning on doing graphics intensive stuff - video editing, AutoCAD, Photoshop, etc..., you would be much better served by spending a bit more on a really GOOD video card. While you will get obvious gains in the above tasks, there are other not so obvious ones - like the latest versions of Internet Explorer and Flash - both of which make use of the video card's chipset to assist in processing stuff coming to you from the Internet. The difference IS night and day. My GT 220 based video card died recently and I could tell the difference between the way it was with that built in and the AMD/ATI Radeon 1250 based onboard chipset that came built into the motherboard. Always go with some form of discrete graphics card... Onboard video generally means a really sucky, older, low end chipset that just won't do it - especially with the tasks you have in mind.
Once again, research is the key. Find one that delivers the amount of performance you need and at a price you can feel comfortable spending.
You'll, of course, need your SSD, hard drives, DVD burner, power supply, etc... When it comes to power supplies, I've also found it's best to spend a few bucks more on one than one that's bargain basement cheap. You do get what you pay for. I've learned a few lessons with those cheap ones - one power failure, a voltage spike - and they're usually toast. But after buying a more expensive, modular one, I've survived a few power outages now without any grief. There are numerous online calculators you can use that will help you evaluate how many watts you need your power supply to be able to handle. You tell the calculator what hardware you're planning to use, and it will figure out how big your PSU needs to be.
Hard drives - I generally prefer Western Digital - but Seagate also makes a decent enough drive. Find one that gives you the most GB for the money.
SSDs - The technology is getting to the point where it's now good enough to be used as a primary drive. Once again - research, research, research.. Find one that has the durability you need and the space to hold your OS and maybe a few other files.
DVD burners - They're pretty much all the same. A bit of research goes a long way. Quality can vary on these. Some are better than others - at least, most of them go for under $50 these days. Samsung and LG make decent drives.
To BluRay or not to BluRay... That's up to you. You can go for it if you like.
Case - This is one item that is totally subjective. As long as it has enough room in the case for all of the hardware you plan on getting - the rest is up to you. It's a matter of taste and if it will match your room decor or stick out like a sore thumb. Get one you like. One thing you DO want to look for - fans - LOTS of them. Unless you plan on doing liquid cooling, heat will be an issue. Most modern hardware generates plenty of it. And heat and electronics do NOT mix very well. Heat = Entropy = premature death. So you want plenty of fans, and the means to power them all. Most motherboards these days have at least two jumper locations for these things - one for the CPU fan, and one for the system fan - usually located in the back of the case. Many cases offer extra fans that plug into 4 pin MOLEX connectors (like the one that plugs into older hard drives and CD/DVD drives). More fans usually is better than fewer.
CPU Fans - Many CPUs come in a retail package. This means usually that it's bundled with a CPU fan that matches the performance curve for that chip. You can, of course, opt for a more radical 3rd party version. There are some really outrageous looking ones on the market. Once again, research will guide you to an appropriate fan.
One more thing that should be mentioned - Overclocking... You may be tempted to do some of that at some point. This is an area where you will have to be extra diligent as far as the research goes - some hardware takes to it better than others. AMD's Black series for instance, is designed for overclocking enthusiasts while their regular line doesn't lend itself to doing that very well. Of course, you pay a premium for the Black version...
Anyhow.. you get the general idea - RESEARCH is all important. The information is out there and if you're willing to do it, you will get the exact system you want. And having the bragging rights of being able to say you put it all together is - as the commercial suggests - priceless!
Note: This post was edited by its original author to add paragraph breaks on 08/23/2012 at 1:11 PM PT