The one real component that confuses me most is the motherboard. What makes one motherboard superior to another and how big is the difference?

Don't forget the non fancy stuff (case, disk drives, hard drive etc.)

well for a start you need to match it to the CPU, then you get to internal ports, so how many PCIE-16 lanes (for graphics card), how many RAM slots, how many SATA ports (how many HDD or optical drives you can add). Then you have things like the number of USB ports, intergrated sound.

Most of the components are pretty standard and you can get away with a cheap board for a basic build, the high end boards are really for people that have specific needs like lots of HDD or multiple GPUs etc.

and a copy of windows of course 

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And a 460GTX for $125
I have the cpu overclocked from the stock 3.6 ghz to 4.2 ghz on stock cooler and runs @ 60c when under 100% load. I am playing SWTOR at max settings and getting 80-120 fps.

Oh- and OS

http://www.amazon.com/Windows-Premium-64bit-System-Builder/dp/B004Q0PT3I/ref=pd_bxgy_e_text_c

And if you're an Amazon Prime member - free 2-day shipping on all of those.

this

and this

are great advices.

Many people forget to buy a good power suply.

since your from the us i would suggest newegg.com to get your parts, or read reviews on parts you are buying. Its good for both of those. I am out of date on info for cpus/ram/gpus etc. but be sure to get a good balance of all three. If one is gimped the other two wont work to full potential. Also get a well known powersupply with good reviews, a bad one can fry your whole system. If you want to save cash do you have a case and powersupply and disk drives and harddrives from your current computer you can reuse?

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.

Also the case is important because what's the point of an awesome computer if it doesn't look awesome?