Building your own is fun and you can buy exactly what you need.
If I were you I would start with the cabinet. Get one that fits where you want to install it, and looks just the way you want.
After that, GPU performance is more important than CPU when it comes to gaming. So buy a moderately priced CPU and motherboard, and spend a little extra to get a higher-end graphics card.
Finally, make sure you get an Solid State Drive (SSD) instead of a Hard Disk. Yes the cost is significant but the payoff is very low wait-times for load times and boot-ups. Plus the machine will run cooler, quieter and use less energy.
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