Pitfalls and things to watch out for eh? I think we can help out with that. I'll write up a hypothetical build here in a while, but for now, here are some things to consider.
1. Buy a big enough case. Small cases have crappy airflow, are hard to work with and will cause you to skin a few knuckles in the process. Also sometimes you run into video card fit issues in a small case. Measure your computer area where the tower will go, find out how much height you have available, subtract three inches from all sides for proper airflow, and that will be the dimensions of the largest case you can fit in that area. Get a good case, as of all the parts of your computer, that will be the single component you will have longer than everything else. You want larger fans than small, since they are generally quieter.
2. Match your CPU to your motherboard. There are several different flavors of cpu out there at the moment. The important thing is that you choose a CPU that will work with whatever motherboard you are going to buy. Generally that means matching the socket type. For intel CPU's for example, you have Core I7, I-5 and I3 family CPU's. but those CPU's can come in Socket 1366, Socket 1156 and socket 1155 variants. The socket type refers to how many pins the actual socket itself has, and oddly enough, the socket 1155, though smaller, is faster than the 1156, and in some cases the 1366 sockets. I reccommend starting with a CPU that looks like it will fit your budget (in that build budget, I'd consider this one: http://www.newegg.com/Product/Product.aspx?Item=N82E16819115066)
and then finding a motherboard that will match. (http://www.newegg.com/Product/Product.aspx?Item=N82E16813131755
3. When installing the CPU and the CPU fan, be very, very very careful. This is the only part of the build process where it is literally easy to destroy your motherboard if you aren't very careful. The Pins inside the motherboard socket are extremely fragile. running your fingertip over them is sometimes enough to knock them out of allignment. When you are removing the factory plastic cover, or setting the new CPU into place, be very, very careful not to dig a corner of those items into the motherboard. If you do so, you are RMAing the motherboard and waiting 3 weeks for your computer. When installing the fan, take time to look at how the pins work, and for your first one, I actually reccommend installing it outside the case before you install the motherboard, so you can see the backside of the motherboard and ensure the fan is installed correctly and locked into place. If you have never installed a CPU, its a good idea to have someone who has built one show you how to install the first one correctly.
4. Make sure you ahve some Artic Silver 5 CPU thermal paste on hand. if you have to remove the fan for any reason, you will want to have some of that around to replace the thermal goo. Otherwise, if you just put the old goo back you end up with air bubbles that may eventually cook your computer. Always wipe the old stuff off with a lint free rag and some rubbing alchohol, then re-apply. You want to apply a very thin layer. too thick and it will act as an insulator. There are several methods for doing that correctly. THe one I tend to use is to spread a very thin layer on the CPU using a buisiness card as a spatula, then place a small amount of extra in the middle, then install the fan. that ensures good contact everywhere, but doesn't cause problems.
5. The motherboard standoffs are important. I know a person who once screwed their motherboard directly to their case. (no, it wasn't me) the resulting electrical short destroyed everything in their computer. You need a standoff under every mounting hole in your motherboard. You need to make sure you don't have any standoffs where there aren't holes in your motherboard, as that can also cause a short. most boards will require 9 standoffs. The case should come with them. They look like little brass hexagon towers. to install them correctly, install them finger tight, then use a standoff driver or a pair of pliers to turn them 1/4 turn past finger tight. Also pay attention to which screws go into the standoffs. You shouldn't have to force the screw in at all. if it feels like it is really hard to put the screw in, you have the wrong screws. Try one of the other types.
6. Get a big enough power supply. You can buy a power supply for $30. You almost always shouldn't. A modern gaming computer with a high end processor and a single high end video card requires at least 650 watts to operate. You want to look for a reputable power supply manufacturer (enermax, cooler master, corsair, thermaltake, antec) with a good warranty, and then size it to your needs. If you are even remotely considering going with a multiple video card setup in the future, get at least 1,000 watt PSU. If you are considering a 3 or more video card setup, get a 1,200 watt. If you know for a fact you will only ever put 1 video card in this system, just get a 750 watt PSU.
7. Avoid OCZ products like the plague. Yes they are cheap. Yes, they have a good warranty. Yes, you will end up using that warranty. Its not worth the headache.
8. With Nvidia video cards, some manufacturers are better than others. Avoid the ultra cheap but ultra failure prone sparkle and zotac cards. Ideally you want an EVGA, XFX, PNY, Asus, or Gigabyte video card.
9. Don't overclock your first computer. You see people talking about overclocking in forums and gaming venues all the time. you see them claim enourmous performance gains by increasing stock voltages. what you very rarely see is 3 months down the line when these people end up buying new ram and motherboards because they only correctly cooled their processors. If you are interested in overclocking, install a water cooling system correctly, and make sure you cool the ram and the motherboard chipset. If you are running on air and have never built a computer before, don't even consider overclocking. Period.
10. go with a 64 bit operating system. With windows 7, 64 bit is the preferred gaming operating system, simply because you can put more than 3.3 GB ram in the machine.
11. Build hard drive backup capacity into your machine. Unless you buy an ultra cheap motherboard, your motherboard will have extra SATA ports and capability to run hard drives in RAID configurations. whether you end up buying a solid state drive or a rotational mechanical drive for your main operating system drive, also make sure you budget for 2 large data drives, and run them in a Raid 1 mirror. Hard drives are cheap, you can pick up a 1 TB drive for around $50 easily. By putting two of those in a Raid 1 mirror, you end up with a single drive that shows up int he system as 1 TB, but has all your data, mp3's etc backed up automatically to both hard drives. when one of them fails, instead of losing all the data on your computer, you simply pull the bad drive and insert another good drive and wait a few hours for it to sync back up. It takes a bit of effort to set up in the first place, but well worth the piece of mind.
12. read the motherboard manual before you start assembly. Oftentimes they will tell you exactly where all the required cables need to go, and where most of the optional ones go. things like the Core Voltage cable, and why you want the 8 pin cable instead of the 4 pin one.
If you do get a solid state drive, get a 6GB / second one and get a motherboard with a 6GB / second controller. They cost more, but they will essentially quadruple your performance over a rotational drive.