I would not recommend putting it together yourself if you don't have experience with putting computers together.
The power supply is important, but the case not so much (unles we are talking about air flow in case of overclocking and such).
The importance of the motherboard and the power supply increase with the desire to overclock. If you want to overclock a lot, then high end RAM and overclock friendly processor and graphic card (not GPU, different graphic card producers will make different quality graphic cards using the same graphic processor), and then high end CPU cooler.
But since you don't have experience in this, don't go for overclocking, this making the good enough components (much) cheaper.
Start here: http://www.tomshardware.com/reviews/build-gaming-pc-overclock,3159.html
replace parts as you see fit but watch out for graphics cards, the single most important thing in a gaming PC.
Also you can use this: http://www.tomshardware.com/reviews/gaming-graphics-card-review,3107.html
Note that a gaming pc a gaming pc on the budget will not be up to par in 5 years time - you will need to upgrade for that. Good news is that you don't have to change the whole thing when you upgrade.
