You need to decide how much you're spending and then start somewhere.
I'd start with the CPU. I'd then pick a motherboard. And then RAM. Then I'd pick the case. Power supply. Optical and hard drive and CPU cooler.Then I'd pick the graphics card. If I didn't have the money left for the graphics card I wanted I'd scale back on the CPU.
Alternatively you could pick the case, and the PSU, and drives etc. And then pick the graphics card and then see what was left for CPU/motherboard.
Or you could go for one of OcUK's prebuilt systems and use that as a starting point to decide what components to get.
Building the PC is easy. Honest, it really isn't bad.
The only difficult part in what you're doing is balacing the money spent between graphics card and CPU to make sure you get a PC that isn't especially limited in one aspect. I don't know enough about that equilibrium point to advise you.