Hey there,
It's great that you've decided to build your own gaming rig! Frankly, building my first computer many years ago was one of the most exhilarating experiences I've ever been through. Not that it was exciting and action-filled, but in a way that makes you feel proud when you've completed the build. You get this feeling of accomplishment that cannot really be described.
With that said, I still build computers all the time today (now through my company) and I still love doing it. So just building your desktop for the feeling of accomplishment alone is worth it. So I'm glad that you decided to do this, which leads me to ask you one question before I can give you a a few suggestions:
What is your budget? Do you have one?
A good desktop that can run ALL the games today on ultra at 1080p can be built for roughly $1300, maybe more maybe less depending on the prices, sales and where you live!