I am going to be buying my first desktop next month, as soon as they start shipping with windows 7 pre-installed.

Some models I am considering.

http://www.shopping.hp.com/webapp/shopping/computer_can_series.do?storeName=computer_store&category=desktops&a1=Category&v1=High+performance&series_name=e9180t_series&jumpid=in_R329_prodexp/hhoslp/psg/desktops/High_performance/e9180t_series

http://www.dell.com/us/en/home/desktops/desktop-studio-xps-9000/pd.aspx?refid=desktop-studio-xps-9000&s=dhs&cs=19&ref=dthp

http://www.newegg.com/Product/Product.aspx?Item=N82E16883229126

Any suggestions on other places to shop?

And any suggestions on games to buy?

amazon.com

tigerdirect.com

You could buy...hmmmm The first FEAR, Mass Effect, Gears of War, Crysis, an MMO if you so desire, maybe an RTS like Civ

If you're buying something pre-built, you're probably being severely ripped off. Just something to consider. If you really want the best deals and most control over it, you're best off hunting around finding sales/combos/etc on parts and putting it all together yourself.

Also, it's worth looking into comps with AMD CPUs, depending on what you intend to use it for, since you can get it a lot cheaper that way as well.

If you're buying it for gaming, then financially speaking, you're better off with a Phenom II than an i7, since games are much more GPU-dependant anyhow, so you're better off saving a few dollars there and buying a better or second video card.

If you have the money, then the one on newegg would be more than enough. I have a Radeon 4870 and i believe it to be the best vid card out of the choices i've seen in your links. It's pretty important if you want to play a game like Crysis.

Don't buy prebuilts; you are being ripped off. You can pay half that price for something with the same performance on games.

CPU: Phenom II X4 945 ($170)
GPU: AMD Radeon HD 4870 1GB ($125 w/ rebate)
RAM: 4GB DDR3-1333 ($71)
Motherboard: ATX 770V motherboard ($70)
HDD: 640GB ($55)
ATX case plus >500W PSU ($50)
DVD burner ($30)
Total: $571, matches any machine you listed in games.

CPU: Core i5 750 ($200)
GPU: AMD Radeon HD 5870 ($380, inc. 2 free games)
RAM: 4GB DDR3-1333 ($71)
Motherboard: micro-ATX P55 motherboard ($110)
HDD: 640GB ($65)
micro-ATX case plus >500W PSU ($50)
DVD burner ($30)
Total: $906, outclasses any machine you listed, will play anything on max settings at at least 1920x1200 if not 2560x1600.

Well I honestly don't know to much about building computers, so I don't know if i would feel comfortable taking on the feat of contructing one myself.

Btw, i think you forgot to include some stuff like an Operating System, a monitor, a Fan/Heat sink, a memory card reader, an ethernet/wireless/bluetooth card, a sound card, a mouse, and a keyboard. Also I was thinking of getting a tv tuner and an extra dvd drive but still havent decided...

Games? Besides the best novelties suggested by others, you could get also some classics for very little money. If you are into stealth games, Deus Ex and Thief I and II, for example. Half-Life for FPS. I'd suggest Planescape: Torment as RPG, but with some reserve: it's a masterpiece, but patching it correctly isn't straightforward. GPL as racing sim is very good, but very difficult, if you like faithful racing sims you could initially enjoy more games that are easier because they simulate cars easier to drive in real world too, GTR for example. If you are into driving, you can enjoy arcade racers too, initially, but you'll soon look for more challenge. As action RPG, Morrowind is huge and quite nice, but it can become dispersive if you try to do all the sidequests. Gothic is perhaps even better. If you don't mind quite old graphics, Duke Nukem 3D is a must as FPS.
These are just a few examples, and strongly biased by my tastes, the list of worthy classics is almost endless for almost every taste, except, perhaps, "graphic whores".

Building a computer is easy, there are numerous guides on the web. If not, a friend or local computer shop can do it.

OS, mouse, keyboard, monitor - Use your existing ones.
Fan/heatsink - comes with CPU and/or case.
Memory card reader - do you need one? Really? Just get a USB key or external hard-drive.
Sound card - Integrated sound is good enough. Really.
Ethernet - should be on motherboard.
Wireless etc. - transfer from old computer if you have one, are you using a USB dongle.

Building a computer is extremely easy, if you played with Lego as a child, you should be able to put one together no problem.

I was the exact same way at the start of the summer, but I managed to put one together myself perfectly fine.

Though with respect to what Soleron listed, you can probably find combos and stuff and get it even cheaper than that. It just takes some looking around.

Lets see I like Action RPGs, Classic RPGs, Platformers, Real Time Strategy, Racing, Fighting, and Adventure Games. If anyone has more examples of those I would be glad for you to share.