CPU
CPU cooler (Depending on model. Some will come with one, some will not. You MAY wish to replace it with a better aftermarket version even IF it comes with one)
Motherboard
Memory (RAM)(Recommended to buy evenly numbered kits. So, two sticks, four sticks, etc., so that you will have dual channel operation. A single stick or mixed sticks that did not come together is not advisable.)
Power supply
Case
Storage devices (HDD, SSD, NVME M.2 SSD, etc.)
Operating system
Case fans (Most cases come with only one or two fans. Usually, for a gaming build, that is not enough. Two or three front intake fans and two exhaust fans, being rear and top-rear, are advisable for most builds)
Monitor(s)
Keyboard
Mouse