You will definitely feel daunted, but I'm sure you'll have a great time once you get all the parts you need. Check out some tutorials, there are plenty on the interwebz (and YouTube!). I've never built one before but I'm planning on doing so in the near future and sometimes I just get so excited!
You WILL need a motherboard though. The motherboard is basically the backbone of your computer; it's where EVERY single component connects to, via different slots. Your CPU/processor, graphics card, EVERYTHING connects through the motherboard. If you already have a monitor and speakers, then there's no real need for you to buy new ones unless you want to replace them, of course.
For shopping online, I hear that Newegg is really the place to go to. I personally haven't shopped there before (or yet) but I most likely will buy all my computer parts from that site if I decide to purchase them online. If not, check out Fry's Electronics if you live in California. I hear Best Buy is a good place to look as well.
In all, do your research before you just start buying stuff. You have to make sure that all your computer components are compatible with each other. For example, having a case that supports your motherboard's form factor (its shape), as well as the motherboard supporting your processor's socket type, your RAM, etc.
Oh, and one more thing; you need a power supply so that your computer will turn on.
Otherwise, good luck, man! I hope you have a great time building your first computer! I know I will.