Building computers is fun. Destroying them is even more fun.
As far as hardware compatibility, Linux has a comprehensive set of drivers that will probably support anything you buy.
nvidia has the best Linux driver support, with the exception of their SLI cards.
Don't even consider ATI, please.
A good resource on Gaming in Linux is
http://www.phoronix.com/
Detailed info on video cards
http://www.gpureview.com/
For the CPU and motherboard, I would recommend looking for Intel stuff, they probably have the best Linux support.
For the distro, Ubuntu, openSUSE, and Fedora Core are all good for their quick setup and hardware detection, in my experience.
If you want to learn more about Linux, try Debian or Gentoo. All of those are free of cost. I wouldn't rate any distro better than another for gaming, although I use Ubuntu personally.
Info on all of the different Linux distributions:
http://distrowatch.com/
Quiz to suggest the best Linux distro for you:
http://www.zegeniestudios.net/ldc/
Linux distro screenshots:
http://shots.osdir.com/
Try out the Ubuntu Live CD and run the OS from the CD without affecting your current setup:
http://ubuntu-releases.cs.umn.edu//6.06/
A good hard drive is the Western Digital Raptor.
Antec makes quiet and efficient power supplies.
If you don't have a keyboard and mouse, look for a Saitek keyboard and a Razer mouse.
I've usually gotten the best deals from
Newegg.com and
Buy.com and from stealing things.