Congrats on choosing to go the DIY route. I think building your own PC is much, much better than buying a pre-built. Assuming you do go this direction, there are a number of important issues to consider, most of which involve compatibility between the different components you buy. At the risk of telling you something you already know, these are the thoughts I'd suggest regarding each major component
1. Mobo - the CPU socket must match the CPU, and the CPU's front side bus (FSB) speed must be supported by the mobo. Similarly, the mobo must support the RAM speed. If you plan to use the onboard sound, video, LAN, etc, then check to see whether or not the chipsets are Linux-friendly. Additionally, you want to be sure that the mobo has enough expansion slots (and that the slots are the right kind) for your needs. If you are using stand-alone cards for video, sound, LAN, etc, then check whether or not that maufacturer offers Linux drivers. As for brands, everyone has their favorite, but I've been impressed with Asus.
2. CPU - you can't go wrong with either Intel or AMD. Personally, I have developed a preference for AMD, but out of the last 4 CPU's I've purchased, two were Pentiums and two were AMD Athlons. Looking forward, I plan on only buying AMD's, as I consider them to offer a better price/performance ratio than Intels. This is not a comment on quality (both are equal IMO) but rather an economic consideration.
3. RAM -- go with a reputable brand, and go with the fastest RAM your mobo can support. I like Kingston
4. Hard Drive -- everyone has their own preferences. For me, it's Western Digital
5. PSU -- don't overlook the PSU, and I would urge you to spend the extra money for a high quality brand. Poor PSU's usually fail at unexpected times, and when they do, they usually take out other components. The one and only time I bought a "budget" PSU, after about 6 months of trouble-free operation, it failed, and when it did it took out the CPU, mobo, and video card. Buy a quality brand (eg, Antec)
6. Video -- there are only two main choices here. One choice is based on the "3 letter company" and the other is nVidia. I've dropped the cash to buy both kinds of cards, but I would not recommend the "3 letter" card. If video performance is important, then I'd suggest going with a card with at least 256Mg. I've got an nVidia 6600 and a 6800, and would recommend them without hesitation
7. Sound -- similar to video. Check that the manufacturer supports Linux or that drivers exist for the card you want to use. I have no recommendation here because I just use the onboard sound. If I want to do serious listening, I use my stereo
8. Printer -- avoid printers that rely on proprietary or Windows-only drivers. Regardless of Windows or Linux, the only printer I would ever buy is Hewlett Packard. They just work, and they work excellently. Plus Linux support is superb. Sure, there are other printers out there but why bother
9. CD/DVD -- generally anything works just fine. Personally I like Lite-On
10. NIC -- again, check if you need any special drivers. As long as you can get a connection, the specifics on the card usually don't really matter. Modern PC's will come with an onboard LAN port, so you may not even need a NIC
11. Case -- personally I like buying cases without a PSU, because I want to use a PSU of my own choosing. The one exception I have to this rule is with Antec, because at least in my view, their cases and PSU's are very high quality. If you purchase a case where the PSU is included, be sure that the PSU is a reputable brand and that the wattage is sufficient for your needs. In other words, don't buy a case just because it "looks cool" or because it has illuminated fans.
12. Fans -- 120mm fans are gaining popularity, because they can spin at a slower rate while still moving more air than a standard 80mm. I like 120's, and given a choice between them and 80's, I go with 120's. However, this is purely a "nice to have" and would not be a factor in a purchasing decision.
As for a vendor, personally, NewEgg
has totally earned my business. They just rock. Good luck with the project