I think NewEgg actually has some excellent builder guides right on their site. PC building can be a broad topic, especially when considering a gaming rig.
Just about any Intel Core 2 Duo CPU will provide enough performance for modren gaming. You can overclock them pretty easily, even with air cooling, ending up with $300 CPU that runs at speeds similar to a $1000 CPU. The Intel i7 CPUs overclock very easily, but are a bit more pricey then their older counterparts.
Also, consider which OS you'll be using before you cram your rig full of memory. Most 32-bit OSes can only address ~3GB of RAM, so unless you're going to use a 64-bit version of Windows, the extra RAM is useless.
I would also encourage you to consider using a portion of your budget on an SSD (the Intel X-25M is a perfect choice). Hard disks have presented bottlenecks for decades and SSDs finally address this. I reduced my Left4Dead load times by nearly 60% by using an SSD as opposed to a traditional hard drive.
This is only a start, but I hope it helps.
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