Well Newegg.com is a great place, same with Directron.com, and sometimes Tigerdirect.com has some good deals. Well for $750-$800 you could build a pretty nice PC that will max a lot of games out there. It really isnt that difficult to build, its a lot like Legos.
Although Legos don't require you to contort your hands nearly as much.
That's the major shortcoming with my main board right now, the SATA ports are in a very odd position and it takes a lot of effort to plug things into them.
In terms of component importance, for a gaming PC, the order would be GPU, CPU, RAM, Hard Drive, Power Supply, Main Board, Disc Drive. Get the best GPU and CPU you can find, RAM is important, but you can go a bit lower than high-performance on it if you want, same with the Hard Drive (just make sure you get one with enough space to store all the assets). Main Board is only a picky-choosy item if you're going for SLI, but otherwise, a mid-range MoBo will do just fine (just look for a decent Northbridge chipset). As for the disc drive, PC games practically never use it anymore outside of installation and disc-checks, so no need to go all-out on a fancy one if you don't want to.