Motherboard / Processor: For pretty much all PCs you want to start by picking out a motherboard. When picking out your motherboard, you must decide what processor you want at the same time by seeing what "LGA Socket" the motherboard is. The LGA must match the processor you pick otherwise the processor will not fit the motherboard. Once you have picked out a motherboard that you like the specs on and the price is ok with you, now we can pick out a graphics card.
Graphics card: If you are only using one graphics card, then all you need to do is check if your motherboard is PCI-Express 2.0 or 3.0 and match that with the graphics card. The graphics card specs will say which one it is. Find the graphics card you like? add to card like a bau5.
Memory: For RAM you want a good balance between MHz and CAS latency. Latency = how quick it gets one thing done. High MHz = how much it can do at once without bogging down. So depending on what you are playing, pick a side.
Power: Now to pick out a PSU. This can be pretty hard because this can either take lots of research to find the power consumption of all of your components or you can estimate from experience. Generally though if you are running one mid range Graphics card like a GTX460 or GTX560, a 600w PSU should be fine. Start going up into the _70's and _80's and you'll need more like a 700w. Maybe a 750w-800w to give yourself some room to upgrade
Cases: For a case you want to get a case with atleast 3 fans. one side, one back, and on in the front. A mid or full tower will both work. a full tower usually has better cable management and more working room. Also if you have a full ATX motherboard i definitely recommend a full ATX case.
Hard drives: If you want an SSD, make sure your motherboard has good SATA Speeds otherwise its not so much worth it. SSD's are used mainly to install you OS on to keep things running extremely smoothly but a single 1T 7200RPM HDD should be perfectly fine. Personally I have 2 HDD's in a connected configuration called RAID0 which allows them to run as one big combined HDD and it cuts install times in half because it's like one big drive with 2 writers.
Monitors: Size is all your preference. You want the contrast ratio to be as spread apart as possible. for instance a 900,000:1 isnt as good as a 1,000,000:1. The farther they are apart, the blacker blacks will be and the whiter whites will be. Also for gaming you want the lowest Ms latency. 2ms is perfect. 3ms if fine. above that is meh-ish
SLI/Crossfire: If you want 2 video cards, make sure your Motherboard can handle it. Generally if it has to PCIE slots that are the same color, it can. The two cards MUST be of the same series. i.e. 2 x GTX470 or 2 x GTX680 and so on. Cant pair a 680 with a 580. You need a heap of power too. For my two 560's I have 900w to be safe. If you want to go all out with like 3 cards, just get a 1250w or something insane :P
Overclocking: For this you HAVE to have an aftermarket CPU Cooler. OC'ing is done in the bios of your motherboard by changing the multiplier or bus speed on your CPU and also the voltages. there is too much to explain here but rule of thumb: High voltage = High heat. Speed is limited by voltage. Voltage is limited by heat control.
Liquid cooling: There are lots of self contained easy to install setups out there that i would go with first before ever trying to make your own. Also too much to talk about here.
Thats about it :P thanks for looking!