Look around in your recycling centers near you too. You might be saying "BUILD IT YOURSELF MAN!" but sometimes OEM's have really easy upgradibility.
For example, I recently just purchased a Dell T3400 with a Core 2 Quad Q9300, a Samsung 840 PRO 120GB SSD, and 8GB of Corsair RAM for under $80 bucks.
However, if you really want to build it yourself, start with a motherboard.
On a side note, I really prefer ASUS boards, but whatever you can find that isn't a Intel OEM board is good enough.
Here's my reccomendations for motherboard chipsets with their corresponding socket and the reccomended CPU, from cheapest to most expensive:
X38 or similar, LGA 775, Reccomended Q6600 with "pad-overclocking"
X58 or similar, LGA 1366, Reccomended i7-920, Xeon E5640/X5640. OC motherboards are required to overclock Xeon/i7.
X79 or similar, LGA 2011 v1, Recommended Xeon E5-2670. 8-core, 16-thread CPU for $80!!!!