Hello all, I just finished building my first AR, but I seem to be running into feeding problems...

The first time I put it all together and took it to the range, it just would not pull the next round after each shot.  Pulled it just fine if I cocked it manually, but after the 1st shot the chamber would be empty every time.

Okay, took it home, took it apart, everything seemed how it should be - so I cleaned it, and put excessive amounts of oil this time to see if it will improve.

Took it to the range the second time today, now it does fire in semi-auto about 2/3rds of the time, and seems to pull the bullet every-time, but around every 3rd or so shot, this happens:



It's very inconsistent, I can shoot 5 rounds without any issues, or shoot 3 with it doing it every time.  I just don't get it.  The rounds it happens to come out looking like this:



What could possibly be causing it, and how can I make it stop?

Thank you in advance!

Have you tried different mags? Make sure it's a quality mag like a pmag, What is the gas system like? Is the gas block properly installed and lined up with the gas port on the barrel? Have you tried different buffers? Do the feed ramps on the upper line up with the feed ramps on the barrel? Just need more info about your riffle and what you have tried so far to fix it.

Your brass defector looks like its been hit a lot for a brand new weapon....

Does the bolt lock open after the last round is fired?

Without knowing the barrel and gas system specifications, that looks to be an effect of short-stroking. Brass can get dented like this when there isn't enough gas to push the carrier to the rear to get behind a cartridge. Having not gotten behind a cartridge, when the carrier begins moving forward again, it still strips a round from the magazine; and the case ends up being pinched between the feed ramp and bolt. Some things that can induce short-stroking are the barrel gas port diameter being too small, bolt unlocking too soon, an excessively fouled upper receiver, gas leak(s), excessive heat retained in chamber walls, and a rough chamber.

What is the barrel length, gas system used, and the barrel's gas port diameter. If you do not know the gas port diameter, the front sight base or gas block (whichever you have) would need to be removed to get a measurement.

Another thing to check is the carrier's gas key; hold the carrier in one hand as you move the carrier key side-to-side with the other hand to see if the carrier key is loose.

Check the gas rings; remove the firing pin retaining pin, firing pin, and cam pin, but do not remove the bolt. While holding the carrier, point the bolt towards the ground (over a table). If the bolt falls out of the carrier, the gas rings need replacing.

Check for excessive fouling on the barrel around the front sight base or gas block; some fouling will be present, but an excessive amount could mean too much gas is escaping.

Check for excessive fouling on the gas tube where it enters the front sight base or gas block; some fouling will also be present, but an excessive amount also could mean too much gas is escaping.

Thank you all for quick replies.  Please excuse my ignorance since I am very new to ARs.

The gun has had about 60 rounds ran through it total.  
The shells ejected at about 4 o'clock angle per chart above.
The gas port seems to align fine, the gas block has a really big intake opening
To my recollection I do not think the bolt stayed open after the last round was fired.

This is what I used to build it:
Pmag V2 magazine
Anderson Upper/Lower
Green Mountain 16" 1:8 barrel: http://www.gmriflebarrel.com/gm-m4-16-a-r-barrel-with-extension-1-8-twist/
Standard gas tube
Gas block: http://www.ebay.com/itm/Black-Rifle-Tactical-Clamp-On-750-Aluminum-Low-Profile-Micro-Gas-Block-Roll-Pin-/141402712354?pt=LH_DefaultDomain_0&hash=item20ec422922
Nickel boron bolt carrier group

This is what it looked like after range today not cleaned, in case someone can spot any abnormality: