In general, it's no longer possible to build one for less than you can buy one and end up with a comparable box.
I use www.tomshardware.com to compare parts, especially CPUs, GPUs, and drives. They have lots of benchmarks and several guides including some for best parts for gaming rigs. You'll find there's usually a significant price drop once you move off the latest model of CPU or GPU. I'd drop down a level on the CPU and spend as much as possible on the GPU. Today's CPUs are so far ahead of the stuff from just a few years ago that the games are no longer CPU bound, generally speaking, but still benefit from top end graphics cards. RAM is cheap, so load it up.
SSD drives rock! Defnitely put your OS on one of those.
I usually get my parts from TigerDirect, Fry's, NewEgg, and occasionally Amazon.