Well. If you don't mind having a large case, I'd recommend doing that. Large cases provide better airflow, which means you need a smaller jet engine to keep your rig cool.
Also makes it a lot easier to work with, and obviously has more drive racks for installing various optical drives, harddrives etc.
Make sure you're not wearing artificial fabrics when handeling your electronics, and wear sneakers with rubber soles or similliar. And, before you start working on your stuff, decharge yourself on something. Can be done by touching a radiator or by plugging in your PSU prior to installing it, turning it on, and then touching the metallic casing.
Always make sure that the electronics are placed on top or inside of the plastic wrapping it comes packed with, to avoid static electricity from the table you're working at. And don't work at a metallic table, use a wooden one preferably.
Keep pets the hell away from your electronics. Your cat is a KILLER.
Otherwise, as others might have said, don't skimp on the PSU. Better have something a little bit more powerful than a little bit too weak.
RAM is cheap. Get a Motherboard that supports DDR3. If you want the got stuff, buy Corsair Dominator. If you want the cheap but still perfectly adequate stuff, buy Kingston ValueRAM.
I'll recommend the Samsung SpinPoint series of hard drives, and again, hard drive space is cheap, but it's also one of the easiest things to upgrade on the fly, so if you gotta save money, this is where you do it.
For your Operating System, make sure you get a 64bit version. If you're the type who can follow instructions, or have a basic understanding of software, get an OEM version. If not, get a standard Retail package.
(Important in relation to whether or not you can get Microsoft Support to help you, or can get the net to help you, if anything ever goes wrong)
For CPUs, I'd recommend Intel. Don't go below Core2Quad, and make sure it's at or above 2.66Ghz.
For the GPU, well... that's where things get really damn messy, and the only thing you can do is look at prices and benchmarks for each one. And keep in mind that your GPU will be the most expensive part of your rig.