Small form factors often require smaller motherboards which aren't cheaper and may be more expensive, and may also require smaller form factor PSUs which are definitely pricier.
You might also be physically limited on how powerful a graphic card you can put in - some require single slot cards, for instance, which massive reduces the range available - and they are often more expensive too. For instance, the ATI 5650 and 5570 are roughly the same price, but the 5650 is a normal (i.e. double slot) sized card and is considerably more powerful.
And you absolutely need to pick a modular PSU - one that allows you to remove most of the cables you don't need. Room is very tight, and the cables that come attached to non-modular PSUs will make your build MUCH more cramped and harder work.
So, lots of possible compromises you may have to consider. There are good boards and cases though that allow some or all full-sized components, you need to look around.
So the most important and first choice you have to make is the case.
For my recent HTPC build, I used this case:
http://www.overclockers.co.uk/showproduct.php?prodid=CA-189-CM
It's a small midi tower case, that is really designed to be used in desktop orientation. It's small, but just big enough to fit a standard motherboard and PSU, plenty of expansions slots, and room for 2 DVD drives and 2 hard disks (or 3 HDs and 1 DVD), so it's a small form factor case with no compromises. It has plenty of fan mountings should you need extra cooling. A very impressive case. It might not be the best if you are moving your machie around a lot.
I'd look for case reviews which mention lan parties, so you could find one designed to support easy transport. For instance, the cooler master Scout has carrying handles - don't know if they are for show or actually practical though.