I would second both the above posts. Doing the research for the parts, figuring out which video card will provide you with the performance you would like to see in your games, the processor that will provide you with the grunt you need/want to do the various things you want to do (graphics - more grunt is better
) - that can be more the 1/2 the fun of a new computer.
But, like was mentioned above, going this route you have to provide your own tech support. You can, sometimes, get tech support from the MBO and/or video card manufacturers, but sometimes not.
I've probably built 7 or 8 machines over the course of the last 10 years and so far I've only had one problem. In the most recent build, the the CPU socket on the MBO was damaged and I had to RMA it back to NewEgg.com (a painless process).