Building it yourself is best and cheapest.
Just need a motherboard, cpu, memory, harddrive, video card, and a sound card. MB will have an ethernet port on there.
If you're going top of the line, get a nForce 4 or equivalent motherboard with PCI-Express on it. (newegg)
You need a cpu. Get the fastest you can afford. AMD is generally cheaper and faster with similarly rated chips. A good AMD64 w/ motherboard bundle somewhere might be your best bet (monarch.com, newegg.com, etc.). Make sure you get intel motherboard if you're getting an intel chip, and an AMD compliant mb if you are going AMD.
Next, pick out a gig of the fastest memory out there from crucial.
Harddrive deals are always going around, so check fatwallet and anandtech for the best deals on a 2 or 3 hundred gig harddrive.
Video card is either going to be a 6800GT ultra, x800, or top of the line with the new x850.
Sound cards can be cheap or expensive. Even if you have onboard sound, pick up a cheap souncard to releive your system bus and system resources from having to work with sound.
That's pretty much all there is. You'll need a copy of Windows XP (I'd recommend PRO) to get started.
At that point, you just screw the motherboard to a case, put all your parts on there, and start loading windows.