Here's a list:
Case (Holds all the components)
Power Supply (Supplies power to all components)
Motherboard
Processor
Video Card (Arguably the most important component for a gaming pc)
System Memory (RAM)
Hard Drive
Optical Drive (DVD Drive, CD-ROM, etc)
Sound Card (Optional, most motherboards have integrated sound)
Monitor
Mouse & Keyboard
I think that's just about it. I hope this was the type of response you were looking for.
Here's a couple good places to get a system custom built for you:
www.progresssystemsinc.com www.monarchcomputer.com