Now that you've selected your the components for your new PC, it's time to start preparing your work area. You should find an open area that's easily accessible--a clean DRY kitchen table usually works quite well. If you have an anti-static mat, use it! It will help to protect your components from damage due to accidental static discharge. It'll also help protect your kitchen table from some potentially nasty scratches.
Here's a list of basic components that you'll need:
See Computer Kits for an actual Do-it-yourself PC parts list
If you don't have an anti-static mat, then you'll need to improvise. You could use a broken down cardboard box, laid flat, for a nice, padded assembly surface. On top of the cardboard, lay out your components in their original anti-static bags. Only take them out when you're ready to install. Make sure you ground yourself before touching any static sensitive component. Avoid carpeted rooms, and try to avoid wearing clothes that are prone to generating static electricity such as fleece or wool. It's best to keep it simple--natural fibers work well; try a cotton t-shirt and jeans. The risk of damage from electrostatic discharge (ESD) increases during winter months when indoor humidity is typically at its lowest.

I highly recommend that you invest in an anti-static wristband and strap. They're quite cheap, and you can order along with your computer components. Put on the wristband, and clip the opposite end to an unpainted section of your computer case's power supply when you're ready to start assembling your new pc.
Collect your tools and have them within arms reach. At a minimum, you'll need a small phillips screwdriver. Some components may require a torx driver as well. If you don't already have one, a small computer tool kit would probably be a worthwhile investment.
As you're preparing your work area and removing your components from their cases and anti-static bags, it's always best to avoid touching any conductive parts of the components. Try to handle everything by the edges--avoiding any metal contacts. This helps to prevent accidental damage from static discharge and also keeps the contacts clean of any debris or oils from your fingers that could affect performance later on.
Next: Assembling your PC