only compatibility issues are;
- processor chipset and make (amd/intel)
- RAM compatibility (something like 8800 last i remember)
- number of PCIe 16x and 1x slots (if you ever go dual video card, gunna need more then 1 16x)
- number serial ata or sata slots (for number of internal HDDS you want)
Now besides that, some things that you might wanna look into are you case. if you dont want some 40lb hunker, your going to have to nit pick to make sure whatever cpu fan you get its too bulky to where it decreases preformance or resricts airflow. This also leads to what motherboard you get. They like to change where they put the cpu from board to board. The number of media slots is something to look into, if you want dual dvd-r drives, a media stick thinge (dont use 'em) and some cases come with a fan control/tepreture display which takes up a slot. hdds and A drives take up differant sized slots but share them. a minor issue with your case would be if your board didnt support all your front side buttons. power button/reset button/hdd light/power light are all standard but some cases have more.
Your PSU should be more then what you need. so when the time to add-on or upgrade you dont need another one of those. ussally one of the last things you grab once you RTM of all you components.
So what i suggest for your first pc, it take it slow and read. dont exspect to get everything you need in one trip to the store (or newegg.com/tigerdirect.com, whichever). Your cant rebuild a car in a day, so dont try your first pc lol. Start with your motherboard, CPU, and RAM (4gigs would be good, most games standard is 2), work from there. If your only buying 2 sticks and your board has more then 2 slots, make sure to space them O X O X. increases preformance and reduces heat. Also, XP for sure, and idk about vista, only support 2gigs of ram, so make sure to get windows 7.
Then get your HDD(s). they go up into the terrabytes now, but you have to decide if you need all that. I myself us 160 and a old 40 gig drives for games and one for media, and neither are half full. Most new motherboards use SATA connections for HDDs. Your also gunna want to choose your RPM. back when i build my last one, the most efficent/economoical was 7700 rpm. they goto 12000 rpm last i checked with a increase in read time, but a drop in capacity. edit: 12000 rpms drives lifespans are only 2ish years
now get your GPU (video card). i dont keep up to date on the newest video card, but make sure its at least 512 and dx11 compatible.
thats the majority of the parts, you can (should) buy a new heatsink/cpu fan cuz the stock intel one always is crap. there are copper clamps you can buy for your ram. some high end models come with them already. case fans that have light in them are neat, pickup some of those (front fans intake, rear fans exhast). they have neat plastic wrap cords you can get for presentablitity and air flow, but zip-ties work the same. HDDs fans are a joke.