Research
It takes time to research all the component that go into a new PC. These are my favourite places for reading reviews about hardware.
http://www.anandtech.com
http://www.tomshardware.com
http://www.sharkyextreme.com
http://www.silentpcreview.com
http://www.xbitlabs.com
http://www.hexus.net/
Tomshardware is especially good for it's monthly roundup of the best video card to buy at different price points. Silentpcreview is very good for its' lists of recommended hardware.
There are a lot of other hardware websites but many just aggregate research from other places rather that doing it themselves. Here's a few of them that are quite good.
http://www.techreport.com
http://www.elitebastards.com
http://www.extremetech.com
http://www.hothardware.com
http://www.arstechnica.com
http://www.techgage.com
http://www.xtremesystems.org
http://www.hardwarecentral.com
arstechnica is particular good for it's System Guide where they recommend components for a budget box, hot rod and god box
Heatsinks
http://www.frostytech.com/top5heatsinks.cfm.
Monitors
http://www.tftcentral.co.uk
http://www.prada.de
http://www.pchardwarehelp.com/guides/s-ips-lcd-list.php
tftcentral has a database of what panels are used in different products.
Hard Disks
http://www.storagereview.com
Not updated frequently enough but it's worth checking out the leaderboard.
Optical Disks
http://www.cdfreaks.com
http://www.cdrinfo.com
http://www.videohelp.com
http://www.cdrlabs.com
Shopping
Online UK Retailers
I usually buy from one of these places. Their prices are typically the best.
http://www.dabs.com
http://www.scan.co.uk
http://www.ebuyer.co.uk
But there's lots of other retailers who might carry a specialty product you want.
http://www.kustompcs.co.uk/
http://www.tekheads.co.uk
http://www.komplett.co.uk
http://www.aria.co.uk
http://www.overclockers.co.uk
http://www.misco.co.uk
http://microdirect.com/
http://www.computerorbit.co.uk/
http://www.overclock.co.uk/
http://novatech.com
http://www.cclonline.com/
http://www.kenable.co.uk/
http://www.xcase.co.uk/
Don't ignore european sites:
http://noisecontrol.de/
http://www.atelco.de
http://www.noiseblocker.de/
http://www.pcsilent.de/
Refurbished hardware
http://www.retekdirect.co.uk/
And of course, don't forget ebay which is great for getting used components to upgrade old PC's
http://computers.ebay.co.uk