Buy the parts at the best prices from reputable sellers, I've heard North Americans say that Newegg is great, I prefer to buy PC parts from a local bricks and motar shop if I can because they can usually offer support down the track, and buying a case from a local can save a tonne on shipping. Building can be fun, it is a lot like Lego or working on a car, sometimes problems can arise but overcoming those is very satisfying.
I'm going to recommend you get yourself a earth-strap with your other components. I never use one, but I recently bricked my motherboard with a static charge. I'll be using one from now on.
Once you have an idea as to what components you want, google "PSU calculator" which will help you work out which PSU you will need. Only buy 80+ certified PSUs, they are likely to be top of the line, are more efficient, and usually at that point come with substantial warranties.
As a beginner avoid SLI or Crossfire, not every game plays nicely with these and more than one GPU will always hurt your minimum Frame Rate, which is more important than your maximum FPS. Single cards are better and easier even if they are more expensive.