It looks so expensive because it's the most powerful single-GPU graphics card on the market. That said, the GTX 770 and 780 are not far behind, and are much more affordable.
CPU... so for purely gaming, you want a good Core i5 (not i7). Either i5-3570K or i5-4670K (or the non-K version if you don't want to overclock and want to save some money). The reason is simple - games very rarely take advantage of 8 threads. The price premium for HyperThreading is not worth it for gaming.
Motherboard, if you get the 3570, get a Z77 motherboard like the Asus Maximus V Gene or Asus Sabertooth Z77 (
note, the X79 Kirito mentioned is NOT compatible, being a LGA 2011 socket) or any other cheaper Gigabyte Z77 board. If you get the 4670 (Haswell), get a Z87 motherboard like the Asus Maximus VI Hero (best gaming performance) or the Asus Sabertooth Z87 (slightly better overclocking) or the Gigabyte Z87X-UD3H (cheaper and most well rounded features). Or the Gigabyte Z87X-OC if money is no concern (best overclocking).
Memory, if you get 3570, get 8GB of 1600Mhz DDR3 RAM. If you get the 4670, get 8GB of 2400Mhz RAM (7-15% gaming and multitasking performance boost). Corsair Vengeance are good.
Graphics, there are many choices. GTX 770, GTX 780, HD 7970. Generally the more expensive, the more powerful. GTX Titan is the most powerful, but the price is a bit silly. Don't get a second graphics card unless you intend to add a third (to iron out microstuttering issues).
CPU cooler, I would say, largely depends on your case. Corsair H100i is probably the best liquid cooler (closed loop, no fuss) without custom kits, but
not so many cases can actually fit it inside without extreme modification (dremel anyone?). H80i is still good, and much easier to find a place to attach it to. Air cooling is a much more mature market so cooling is guaranteed with minimal fuss, but then you get the monolithic heatsinks and noisy fans.
Case, plenty of good choices. If you want something standard, there's the CoolerMaster HAF series. If you want something with a twist, there's the SilverStone Raven RV03. If you want something with enough fans to generate a tornado, there's the Antec xxHundred series (I have an Antec 1200). If you want something with a bit more style, there's the NZXT Phantom series. And for the nVidia fanboys out there, there's the
nVidia case.
Power supply depends on how many graphics cards you're getting. One: no need to go above 600W (or 450W for that matter). Two: aim for 650-850W. Three+: 850-1200W. Make sure it's a good brand since an unnamed (often chinese) PSU can blow up and are literally hazardous to health (black smoke is not breathable). Corsair is a good place to start looking (even if they are rebranded SeaSonic PSUs).
Storage, tends to be about what's left over in the budget. DVD drive, $15. BluRay drive, $50. 1TB HDD, $70. 4TB HDD, $180. 256GB SSD, $180-240. 512GB SSD, $400.
Extras: Windows, monitor, keyboard, sound card, WiFi card/dongle, webcam, lighting mods, etc. I won't comment.
EDIT: If you provide a website you're happy to order from, we can always use that to scratch up a build with their prices.