I'm sure this a common question, but i've yet to find a decent answer, so i'll ask for myself.

1.) Where is there a list of linux compatiable hardware?
2.) If one dosent exist, dosent someone think its about time it does?

And finally...

3.) Is hardware compatiability a distro specific thing, or is it deeper than that and mainly in the kernal?

I'm in the process of shoping for a new system, but i want to build it myself. So as im shopping for motherboards, and video cards, is there anyway i can know if it will work with Linux? In the "Windows World" that we live in most products come with the little "windows compatiablity" sticker but its a rare day you actually see the little penguin on the side of a box (they do exist, i have seen them). So if anyone can point me in the right direction i'd appreciate it greatly!!

This very site maintains a Hardware Compatibility List (HCL) - the link is probably on the top of your screen right now (it says HCL... between Forums and Reviews). If not:
http://www.linuxquestions.org/hcl/index.php

It's incomplete - obviously not all compatible hardware is listed, but it's a good place to start.

I usually check there, and on Google. On Google, you can find if others have had successes or failures with a particular piece of hardware, as well as find out what others are recommending.

Just as further note pointing you to the HCL on here, with regards to whether drivers are distro specific, this is pretty much the case to an extent. One piece of hardware may work out of the box in something like Ubuntu or SuSE, but not in Mandriva or Debian. It depends on the hardware detection in each distro and the default modules built in to the kernel. The encouragement is that if it works on one distro, it will (usually...) work on another with the correct drivers