This guide will help you find specific parts according to price/value ranges. It will also match the motherboard to the CPU, so you can just buy whatever is in the same range. It does not include a monitor, mouse, keyboard, OS, etc, so you'll have to factor that into your budget.
CPU: For now, the PhenomII or Core i5-2500K or i7-2600K are the best CPUs. Core i5 is better than PhenomII in most cases, but tends to cost a bit more.
Motherboard: AM3+ for PhenomII, H61/H67/P67/Z68 for the newer Core i5/i7. If you're getting a graphics card, then get the P67 or Z68 (Z68 costs more, but has extra niche features).
RAM: 2x2GB or 1x4GB is the minimum, and can be obtained from $35 up. Just get the cheapest DDR3 RAM you find, since there's no perceivable difference in performance. You do NOT need more than 8GB unless you're doing some rather specialist work. Generally, you don't need more than 4GB, although lots of system builders like to put 6GB in their rigs.
Heatsink: This is optional. The CPU will come with a basic heatsink, which is all you'll ever need if you don't overclock. If you overclock, or want better cooling, or want a quieter system, you'll want to get a third party heatsink. If you care about any of this, say so and I'll give some recommendations.
Graphics: The more intensive games you want to play, the more money you want to put into the graphics card. I would say as a minimum, get a HD5770 or GTX 550. HD6850 and GTX 560 make the mid-range, and HD6970 and GTX 570/580 are the best. Do not even consider multi-GPU setups (like the HD6990 or GTX 590), since they create microstuttering and that is bad for games.
PSU: Two rules - never get a non-branded PSU, and never overtax your PSU. Getting a PSU that's 600W or above is a good idea, preferably from good brands like Antec, Enermax, Tagan, etc. If you get a modular PSU, you will have an easier time managing cables inside the case.
Case: This is largely aesthetic. Get one big enough for your chosen graphics card. Pick one that has a good amount of airflow (e.g. intake fans on the front and exhaust fans on the rear/top). If you want, get a SilverStone case which has the motherboard rotated 90 degrees so all the cables come out of the top (it has fans on the top and bottom for direct airflow). Pick any case you like really - mine is an Antec 1200.
HDD: If you want to use a SSD for booting and a HDD for storage, it won't matter what HDD you get (so long as it's not from Seagate). Crucial C300 and M4 series are some of the best, although the OCZ Vertex3 series (with a SandForce 2000 controller) is the only series to go above the 5Gbs barrier that most SATA3 controllers have (only H67, P67 and Z68 motherboards can utilize the full 6Gbs of SATA3). If you think SSD are too expensive for the little amount of capacity they give, you should either get a Samsung Spinpoint F3 1TB or a Western Digital Caviar Black 1TB (costs more, but has
slightly better performance). If you want a second HDD for extra capacity, go for a Samsung EcoGreen model (e.g. Spinpoint F4EG 2TB) or a WD Caviar Green model. The reason for this is because you want good performance on your boot drive, and low energy usage on your secondary/storage drive.
DVD: I normally tell people to get the cheapest $17 or $18 DVD drive they can get off newegg. DVDs are practically obsolete anyway.
Others: Monitor, mouse, keyboard, OS... all up to you really.