Newegg
Everything you need is right there. Their prices are great.
Advice:
-Ground yourself to your case at all times when handling components. Last thing you need is a $200 paperweight that used to be a graphics card. They make wrist straps for this... but I'm too lazy to look up a link.
-Future-proof yourself. Don't skimp on important components. Get at least 8GB's of RAM and a TB of hard disk space. Quad core and up for your processor... I find AMD to be the best value.
-Make sure your power supply can handle your components power needs. Don't cheap out on it... I run a 750 Watt one currently.
-Make sure you have all the fans you need and then some. And for the love of God, don't forget to put thermal compound between your processor and heat sink. Oh yeah, buy a good heat sink too.
-Make a parts list before you order anything. Make sure the processor you've picked is compatible with the motherboard, and make sure the RAM you've picked is compatible with both. Specs can be found on the manufacturer's websites.
-Buy a GOOD surge protector. Nothing beats a $1400 paperweight because you bought El Cheapo's Fantastic Surge Protector on sale from the Dollar Mart.
-Build it on a surface not prone to static (i.e. wooden table) and don't stand on a carpet while building. Static is your biggest enemy.
-Have fun. It's an enjoyable experience and you feel all smart and such when you've done your first build. Build it to the specs you need and then some (as I said, future-proof. Upgrades are expensive)
-64bit OS is a must.
-That's about all I can think of right now.