I just built a new system, see my signature for my specifics. This is my first build and I wanted to share some of my experiences with those new to PC building.
1) Do it - it is easier than you expect and it is rewarding.
2) Glad to see you at this site, keep reading. Ask questions if you have them, but search the sites almost everything has been answered.
3) Take it step by step, and you will be fine, don't rush anything.
4) The stuff takes up quite a bit of room, make sure you have space.
5) Watch sales, I was able to purchase almost everything at 25 to 50% off retail. Some days NewEgg would have a good price, some times my local CompUSA, I waited and found the sales.
Vista Ultimate, Intel 6300 Scythe Ninja, Antec P-180B with 6 Yate Loon fans, Asus PB5 Deluxe WiFi 802 Bios, NVidia 7900GS, Cosair 2GB XMS2-5400, WD RE2 500GB w/16MB, WD ADFD Raptor 74GB w/16MB, Silverstone ST50EF-Plus