Do you live next to a Frys or Microcenter ?
if not ill just use stickly newegg but if you live next to a Frys or Microcenter, id buy some of the parts there as they are usually $10-30+ cheaper each part.
Periphals (this is mostly a gaming computer?)
keyboard:
http://www.razerzone.com/store/razer-blackwidow-tournament-edition
mouse:
http://www.razerzone.com/store/razer-deathadder or
http://www.zowiegear.com/index.php?i=product&p=4 or whatever you feel comfortable
headset(if you do decide to play skyrim MMO you will need one of these):
http://www.astrogaming.com/ for expensive ones or
http://www.razerzone.com/store/razer-carcharias-for-xbox-pc if you want to save money
Monitor:

If you thought skyrim looked good on your friends computer

if it was being played on this monitor

you'd be suprised on how big the difference a monitor can make, I want to get 2 of these
all the above though can be switched out for what you feel is comfortable/what you want to do. For gaming those astro head sets / keyboard are really really nice keyboards (theres more expensive keyboards, but usually come with features that youll never use and Mechanical keyboards have the fastest precision)
Actual computer:
Processor:
i7-4770k - $320 ($200 at microcenter if that deal is still going on.. thats a crazy price)
http://www.newegg.com/Product/Product.aspx?Item=N82E16819116901
Motherboard:
They have a combo price with i7-4770k and this motherboard
http://www.newegg.com/Product/ComboDealDetails.aspx?ItemList=Combo.1475339 (total $550)
thats a real expensive motherboard though, hard for me to justify it..
Me personally I like MSI motherboards:
http://www.newegg.com/Product/Product.aspx?Item=N82E16813130643 - $160
3 16x slots (this is good for SLI/Crossfire if you decide to do that)

Can easily OC as well
if money is no issue:
Video Card:
780 GTX - $500
http://www.newegg.com/Product/Product.aspx?Item=N82E16814130918
780 GTX TI - $750
http://www.newegg.com/Product/Product.aspx?Item=N82E16814487001 (me personally would never buy a $750 video card... this is over kill for most games)
for future proofing:
770 GTX 4 GB - $370
http://www.newegg.com/Product/Product.aspx?Item=N82E16814125462 you do this for future proofing because in a year from now, youll be able to buy another one of these cards for $250 or so, and combined with SLI and those 16x slots from your motherboard will easily out perform that $750 video card above or the $500-750 card of next year as well, while in the mean time this will play any game on max settings.
RAM:
8 GB 1600 MHZ - $76 (might want to make it 16 GB for $150) -
http://www.newegg.com/Product/Product.aspx?Item=N82E16820231428
Hard drives;
240 GB Seagate SSD on sale for $170 -
http://www.newegg.com/Product/Product.aspx?Item=N82E16820248016 (put your games on this hard drive)
3 TB Western Digital Green HD 6.0 GB/S

$130 -
http://www.newegg.com/Product/Product.aspx?Item=N82E16822136874 (put your music and movies and shyt on here)
Power Supply:
I buy expensive shyt like this

some people go the cheaper route (@
MMSex) but nothing more frustrating to me then when trying to upgrade your computer and realizing your motherboard or powersupply doesnt have the right cables or slots

Corsair 850W Gold Ceritfied $150 SLI/Crossfire ready -
http://www.newegg.com/Product/Product.aspx?Item=N82E16817139011
The case and DVD drive im sure you can find on your own