Don't buy an AMD.
Look here. It's a list of high-end CPUs by absolute computing speed. If you look at the top, the fastest are all Intels. Nothing compares to the quality of a genuine intel CPU. Don't buy a CPU because of price, clock speed, or number of cores. I actually chose a quad-core i5 @2.8GHz over a similar one at 3.3GHz, simply because of the benchmarks. I also used to buy AMD, because tehy were cheaper for a similar clock speed, however, a quad core AMD athlon which is the last AMD chip I have will only benchmark at about 10GFLOPS, whilst my i5 clocked at the same speed with the same amount of cores benchmarks at 40. My core 2 duo laptop @2.1GHz benchmarks also at 10GFLOPS. (another good way of benchmarking CPUs is by using linpack, which is where the FLOP measurements come from). Google it.
Anyway, for the rest of your question, make sure you buy good hardware, but don't get ripped off. For example, with the ram, check the capacity and speed (and possibly the latency, but they all seem to be about the same). I bought cheap £10/module 1gb server ram @1.33GHz, whilst simlar "gaming ram" which had a big blue heatsink but was otherwise identical, was about £40/module, the price I payed for all 4gb.
For a graphics card, I would always recommend XFX, they are a good company that make good quality cards. They are expensive, but so far, none of them have ever broken or gone wrong. My MSI card overheated, and my sapphire card drew all the power away from my motherboard. As for nVidia/ATI, I think they are both the same performance wise. I have always preferred nVidia, but it's just a personal preference. With graphics cards, look for the clock speed, GPU model (check wikipedia for latest models, newer=better), Direct X support, ram speed, onboard ram (carefully check this is onboard ram. I have seen plenty of "1GB" cards that only have 512mb onboard and use 512 system ram).
For your motherboard, I would recommend something like a gigabyte or asus. I have a gigabyte at the moment, but asus are also good. Just try and avoid the cheap ones (ecs, msi, foxconn). ASrock are good mid-price boards. Deciding on a board is mainly down to connectivity. Firstly, check the CPU socket, then ram sockets, and then expansion ports and I/O ports.
For a hard drive, do NOT get a seagate. I have heard mixed opinions, and frankly they used to be a very good company, I still have a running drive from the 1990s, but all new drives I have bought have died within a year. I always buy hitachi, but toshiba and samsung are good too. Make sure it has a sata interface, preferably sata-II, or even sata-III. Disk speed is pretty standard at 7200RPM, don't get a 5400 or it will be slow. A larger buffer also helps speed things up.
I usually buy arctic cooling heatsinks. The Arctic Cooler 7 is a universal Intel/AMD heatsink that covers many sockets. Don't use the stock cooler, you won't be able to overclock and it will run as hot as a laptop. Thermal compond is also tricky to apply correctly, there are plenty of good videos on the internet. Check the temperature with CPUID's HWmonitor, If its any hotter than about 40 degrees idle, you're doing it wrong. Don't use the silicone or ceramic based compound either. Silver is good, but I would avoid it as it is a pain to clean off if you re-apply. I use arctic cooling mx-4 or nano-diamond.
Power supply can be anything really, I haven't ever really had a bad one, but I wouldn't buy the cheapest I can find. If you want to spend a lot of money on it, go for a modular one, it really helps cable management. I don't really ever go for a specific brand, just a mid-range modular supply.
I would make sure you get a good, sturdy case too. I got a cheap £30 case as it's just a case and only has to hold everything, but I don't like it much as the screw threads have come of, the side panels bend, and the racks have bent under the weight of everything. So I would definitely get a decent case, but don't spend too much just for visual appearance.
Again, definitely don't just buy a processor for it's clock speed or amount of cores. If you don't believe me, look at the benchmark for a 4GHz Pentium 4 vs a 1GHz i7. True, the i7 has more cores, but it's benchmark will be about 10-20 times that of the P4.