Something you're going to learn is that you'll never quite "blow the roof off" these upcoming games, which almost always use unoptimized or poorly optimized super-high-res textures and experimental effects. Even the best gaming rig you can build, will have hiccups, stutters, odd moments of lag, etc. You can minimize all that stuff without blowing your wad on the newest blingy-est things, but the top level consumer hardware just won't get you "perfect" maxed out gameplay, because that's not how the whole process works.
But yeah. Look into quad cores, hex cores, octa cores... look into the GTX Titan, look into intel's latest cpu offerings... SSD, minimum of 2x4gb of "fast" ddr3 ram (pay attention to latency ratings and the relation between your ram speed and cpu speed). Make sure you have plenty of power, particularly amperage, but don't go too far overboard, or you'll be running outside of the "efficiency" range of your PSU.
Lots of people say you can "get away with" using 1333MHz RAM. I'm not sure i believe that, but you should research it yourself and make your own decision.
1. GPU (bandwidth and ram capacity)
2. CPU (clocks, heat, general performance, cores...)
3. RAM (capacity, speed, dual channel...)
4. SSD (if you want "max gaming," you'll need to reduce your loading and access times to stored data...)
5. PSU (total watts, amps on 12v rail, plan for in-excess of "maximum requirement" for total of all your hardware, just in case there are times when everything is running at peak capacity...)
Cooling? Case? Peripherals? Monitor? Sound?
Potentially helpful opinions and things to consider.
Basically, it's easy to build, requires some caution and dexterity, but still easy... less easy to plan, and somewhat tedious to do all the research.
Just be patient and learn about all the things via the internet, before you "do" anything, and try to catch the things you want on discount.
I shall recommend tomshardware, if only for the GPU charts.
Newegg is probably the best place to get most computer things, but not always, so look around before you lock-in.
Edit: actually, i forgot this was a "budget minded" thread, so... forget i mentioned intel. Intel is "better" than AMD, but probably not better enough to justify the cost increase of both the CPU and the motherboard it requires. Just get whatever AMD's flagship is, it'll be enough to be relevant for a while, without being nearly as costly as anything good from intel.
Also, the titan is a supercomputer gpu. It's like $1k. Check ebay for like a used 580 or 680, or whatever AMD/ATI card competes with those. I would recommend avoiding SLI or CrossFire. Too many games just don't properly utilize all that power smoothly, and so it's not really "worth it," unless you're getting an amazing deal on two cards, or a twin-gpu single-card. (like the watercooled 590 i recently acquired).
