Building a new computer can sometimes be a challenge. Not only do you need to know a lot of terminology and understand how everything goes together, but you also should do a good amount of research ([1], [2], [3]) into what’s most reliable and has the most nifty features. That’ll get you 90% of the way to a nice new machine on which you can play Doom 3.
The other 10% is luck. When you get your new Mobo, CPU, and RAM, and go to put it into the computer, and you discover that your 5-year-old ATX power supply is not the same thing as what your motherboard manufacturer means when they say “ATX power supply”, that’s not a good thing. Just to increase everyone else’s luck factor: newer motherboards (those for Athlon 64s and some XPs, and Pentium 4s) require a 4-pin “+12V connector” in addition to the standard 20-pin ATX connector. Here is the best information I’ve found on the matter (including how to decide how big of a PS to get!).
Update: Got a cheap POS from CompUSA. They have a lot of power supplies there.