Since this is your first computer:
Get a good barebones kit to start with. I like Soyo's kits. Make sure it has plenty of drive bays if you want to upgrade later. Like Kendril said, you want to make sure the motherboard included has built in ethernet and sound.
Don't skimp out on ram, 512MB is a good minimum these days. Also be sure you know what kind of ram you need before purchasing it. The motherboard's spec sheet should include information on this.
The CPU is another crucial decision. You will be limited on choices depending on your motherboard. Once again, the motherboard's spec sheet should include information on this.
Harddrive: You don't need to go overkill on the size, but get at least an 80GB. Make sure your harddrive has a speed of at least 7200rpm.
I've covered the essentials for your computer and leave the rest to you
.
I suggest
http://http://www.pricewatch.com/ as a place to browse for parts.