Start with the CPU; that determines motherboard and RAM. Decide on other components from there.
All-in-one media readers are a nice use of the 3.5" drive bay
Asus is my go-to brand
Gigabyte is my backup brand
Biostar is my value brand
AMD is my choice for custom builds
Antec is my go-to brand
Cooler Master and Thermaltake are close seconds
Sparkle is a backup brand if I cannot find anything else suitable
Western Digital is my go-to brand
Seagate and Hitachi are my backups
Antec is my choice for consumer builds
Chenbro is my choice for server (rack-mounted) builds
I used to buy Kensington exclusively
Recently, I have been buying Crucial also
Plan your motherboard purchase appropriately if you are planning on adding a discrete GPU later
I rarely buy anything but nVidia cards
Look for SLI-capable motherboards
A retail CPU will come with a heat sink and fan, but it will be a bit loud
Cooler Master is usually the brand that I buy
Look for processor socket compatibility, then look at decibels (26dB or lower will be pretty much inaudible)
Buy additional case fans only if needed; most cases come with more than enough
Typically, I only buy Dell or Acer monitors
Microsoft used to be my exclusive brand, but Windows 7 requires IntelliPoint and IntelliTouch now.
I have switched to Logitech
If you are installing more than one hard drive or are installing an optical drive, buy extra SATA cables
Do not purchase cables retail; get them with your other parts or order them from Cable Wholesale or Monoprice
LG has treated me well for Bluray drives, as have Sony and Asus for DVD drives
D-Link is my preferred brand for most networking cards
Intel is my preferred brand for server builds
Trendnet tends to be pretty solid for the value-conscious
HP or Brother for consumers
Be sure to include a valid license when building systems for others