I built mine about a year and a half ago, and got a lot of my stuff from microcenter in Cambridge (you can order stuff online and pick up in store, no need to pay for shipping), and then newegg.com for a couple of other parts
My first suggestion would be to figure out what kind of CPU you want (for the budget, I'd probably suggest an i7 from last generation if possible, they're still very good without costing quite as much as the new generation. Then get a compatible motherboard, don't go too overboard on it, a mid-ish range one should be fine (but make sure it's SLI compatible, so you can upgrade your graphics card later without needing to shell out for a newer card)
For a graphics card, I'd probably suggest a GeForce 670 (I just upgraded from a 650TiBoost, which has similar specs to a 670, and it was able to run almost every game at or near max settings)
8 GB of memory is sufficient, I really like have 16 but it's by no means necessary (12 would probably be a good amount if you're willing to spend the money)
A solid state drive is really nice to have, but at that price point I'd probably go for a 2TB or so hard drive. For a power supply, I'd suggest going modular (partially modular rather than fully), it helps cut down on clutter in the case
If you have some extra money, I would use it to upgrade the graphics card a bit (or the RAM)
I hope that helps a bit, feel free to ask if you have any questions about any of it (and sorry if any of it makes no sense, typing this on a phone makes it hard to go back and reread it