The best way to do it is to follow these steps. (IMO)
1. Set your budget
2. If going for SLI 750 to 1000w PSU, no SLI, go for 500-600W. (highly rated amongst higher profile review websites, JohnnyGuru, KitGuru, TechPowerUp, etc.)
3. Choose a case you want, there are so many cases on the market and personal preference on them that suggestions can only come in the form of "most of the population likes", which isn't made specifically for you. So look around for what you'd like, again check reviews.
4. Choose a video card that'll max out the monitor you'll be using, don't go buying a 1080 Ti if you'll only be on 1080p. Again check reviews to see based on the games you play, what GPU is best.
5. Choose again a CPU for your needs. If you'll only be playing single core games, you'll be better served build wise by saving some money with a 8600K instead of a 8700k for example. (The K model is still OK to get if you're not overclocking, it comes with a higher base clock stock, so will still be faster, plus you get that future option of doing it eventually. It also has better resale potential down the line)
6. Choose a decently rated motherboard, reliable is the best here, not too many gimmicks, bells and whistles that you won't use.
7. As far as storage goes, choose a SSD to fit as much as your games as possible and OS, 512GB is my suggestion, then a 1-2TB HDD if you can afford it.
8. Optional is an extra 1-3 good case fans to help with cooling.
9. CPU cooler. Air is cheaper and quieter than the vast majority of AIO, but bulkier on the motherboard, Your call.
tl;dr -> PSU, case, GPU, CPU, MoBo, Storage, Cooling