DarrkPhoenix: First of all, seeing as you're in the US, this site is your friend if you choose to build your own system.
Now, regarding processors, motherboards, and compatibility, decide on the type of processor you're going to go with first (AMD? Intel? Socket type?), then look for a motherboard that has the kind of specs you're looking for (number of PCIe slots, quality northbridge, RAM type, RAID capability, etc). Once you've picked out your motherboard, head on over to the manufacturers' site and check out the qualified vendor list for processors and RAM, and make sure the CPU and RAM you're interested in is on that list (these are the two components most likely to have compatibility issues with your mobo). Once you have mobo, CPU, and RAM picked out decide on a GPU (not much to worry about in terms of compatibility here). Then find a power supply that will provide enough juice for your GPU and processor, and then some. Check the overall wattage, as well as the amps on the 12V rail. And make sure you're getting it from a quality manufacturer, such as Rosewill or Thermaltake. Note that mobo and power supply are two components that are often not given as much consideration as they should be given, and are the two components that you do not want to skimp on. Once you've got mobo, CPU, RAM, GPU, and PSU picked out, HDD, soundcard (if any) and optical drives are just gravy. Oh, and make sure that the case you pick out supports the form factor for your mobo (e.g. ATX, micro ATX, etc), has enough space to fit in your GPU, and has good air flow.
Once you've picked out your components, then decide on whether to build it yourself or buy it pre-built. See how much the components would cost on their own (from a site like Newegg), then see how much a computer with those same components would cost if you had someone put it together. Now decide if that price difference is worth your time and whatever worries you may have about your ability to put a computer together. Also, be sure to include OS and monitor (if you don't already have one) in your costs, as these two things are easily overlooked, but can quickly add $200-400 to the total price of the system.
Also, a final bit of advice, pass on the velociraptor. That jump from 7200 to 10000 RPM is not worth the massive price increase for a desktop PC (there are very few situations where HDD read/write speed with be the limiting factor in performance). Hell, if HDD r/w speed is a concern you could grab two 500-800 GB drives and set them up in RAID 0 for less money that a 300 GB velociraptor costs.