Hi,
Ive built a number of them the past years and can give you a few pointers..
But first up; Do you have unlimeted funds or..? I guess no, and like someone before me said: you need about 3K for a rig like this. No joke. So keep that in mind.
First thing to do is to choose a big ass chassi. You can never have to much space when building our own rig.
Second of all, choose a motherboard with high quality and with support for at least 32 gb DDR3, 3xSLI/crossfire, and four core procsessor. If you dont have the needs today, you will tomorrow, belive me.
Third, the processor. Same here, aim high and it will last longer. I like the Intel i5 and i7 quad cores myself.
Fourth, graphics. If you wanna play 3D you dont have much choice. Its Nvidia. Which ever you buy, it will be good enough for about a year or two, and then you will probably feel like replacing. A word of warning though. Try to find a card manufactured by the same company as the motherboard. That means they are more likely to run smoother together.
Fifth, HD. Go for a 10 000rpm for OS and games (120-240 gb is more than enough), and then one or two 1tb 7200 rpm for documents, pictures, porn etc.
Last, power. DO NOT BE CHEAP. Go for a 1000 or 1200watt power supply. To little power may damage the hw.
Start with that, and then spend a couple of hundred lonely night on the web turning every little detail inside out on finding out if the heat sinker should be made of copper or steel. If you should use rubber screws or just rubber fittings... You get the picture..
A word of warning though. Powerful rigs tends to create a lot of noice do to all the fans needed. You CAN create a pretty much noice free rig, but its not easy. Make sure you can remove and replace the fans on the videocard, processor and chassi. Spend a couple of extra bucks on buying near noice free fans from Noctua, Zalman or Corshair and replace the originals. I have tried water cooling once, and it works, but you cant have it completely fan free. Plus all the hoses are a pain in the ass to get right and takes up A LOT of space.
I hope this helps and good luck