I built this as a Steam Machine for use in my theatre room, my projector displays a 1080p image so that is my desired goal for gaming. I used an Nvidia card over the less expensive R7 260X ($120) as the Linux drivers are much better for Nvidia and I am outputting through HDMI.
CPU: Whats not to like, it overclocks like a champ and its dirt cheap, I am using the stock heatsink for now, overclock is incoming.
Mobo: Cheap Mini-ITX with no frills but it works and everything booted first time and I had no issues at all with SteamOS install.
RAM: Plug and play, nice glowing lights.
SSD: Easy to install, quiet, faster than a HDD.
PSU: This is a beast, fully modular and very efficient, using it as it was spare, its a little too long for the case but I made it work.
GPU: Wanted to keep this under $200 and nearly went to the R7 260X which was on sale for $120, but the ATi Linux drivers are not great, and I am outputting via HDMI, so to save any future headaches I went with the Nvidia option.
OS: Free as its SteamOS. Installed from a USB 3.0 Sandisk key, installed perfectly with no issues, 100% surprising.
Case: For $45 I am amazed with this case, very high build quality and it looks great, easy to work in, I might buy another in the future.