Do this: go to Tomshardware.com, in particular, go to http://www.tomshardware.com/forum/forum-31.html
You can read a whole ton of posts on gaming PCs at whatever price range, plus there is a lot of people who browse and approve or recommend different components. Obviously doing some of your own research first is a good thing but once you think you might have a good build, asking the pros if it'll do what you want will be good. You could probably even say "hey, I want a PC at least as good as an Alienware Aurora" and see what people come up with. Your budget is the main thing.
I did about a week of research and picked out the parts I thought I'd want for my first ever PC build. My last one was a prebuilt at a local shop, it was alright... but anyway, I started by setting a budget and reading about CPUs. I chose an i5 750. From there I picked an appropriate motherboard, an MSI P55GD65. Then I wanted a 5850 video card based on a lot of reviews it had the performance I wanted and in my price range. I picked the case based on what was available at the store as well as reading reviews after I selected a few that I liked. Picked the Antec 902. Finally I needed a PSU, and I went with a popular suggestion for a quality PSU which was a Corsair 750TX. DVD drive, well whatever that was $20. I then upgraded and got 2 new 500GB Seagate HDDs for a RAID 0 setup (to put my old HDD back in my old PC which I sold to my parents). Oh yeah also I bought a CPU cooler, although I should have made a more informed decision there but it does work well enough. All told I think that was about $1400. I've since added to it but that's where it started. And as for putting it together, it's quite easy. Took probably 2 hours but it wasn't tough, I just took my time to do it right and to have good cable management. Plugged it in and voila, booted up first try.
I'm fairly tech savvy, but unless you're really bad with electronic stuff, building your own isn't a big deal. And it's quite rewarding.