The only things you really need to worry about are getting a motherboard that supports the processor you want, and making sure you get the AGP vs. PCI-E matchup right for the video card (you will generally be getting PCI-E if you aren't trying to build a budget box). Other than that, hardware incompatibility is largely a thing of the past. You _might_ have issues if you buy cheap no-name parts, but if you buy anything from decent companies, you shouldn't have any issues with a sound card not working with a video card or such.
I suggest this as a good source of info:
http://arstechnica.com/guides/buyer/...ide-200612.ars
It was written a month ago, and contains info on good parts for 3 levels of PCs, ranging from the budget to the "god box." Each part usually has 2-4 alternatives listed as well.
Among places to shop for parts, newegg.com usually has decent prices, and the try to ship things out quickly, unlike certain south american-jungle type sites.
