here's my server checklist:
1. a processor that supports the fastest memory, as memory bandwitdh plays a HUGE role.
A good example of these while keeping the price down is either a P4 2.4c or an Athlon 3000+ (400MHz FSB version). Both can be had for around $160 and will support DDR400, the fastest sanctioned memory around (there's faster memory, but right now its use is purely for overclocking)
2. a motherboard with the latest chipset that supports the processor. If its an intel go with like an 865 chipset if its AMD go for an nforce2 ultra.
don't bother going nuts on a motherboard though, all you need is a decent chipset to take advantage of the cpu. here's a list of what you don't need: sound, networking, tons of usb or firewire ports, onboard raid, agp slot, and anything that glows under a uv light or blinks. note that onboard video is not on the list of what you don't need- onboard video is awsome for a server because it's shitty costs almost nothing and is still more than you need. you don't need sound, period. most motherboards are gonna have ethernet built in but its better to get a good one seperate and the same idea with raid, a different card is better, if you need raid. a mainboard with the above listed features can be had for less than $100.
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3. Good memory, and at least a gigs worth of it. Memory that can support timmings of 2.5-3-3-6 or better is good memory in my book, and i'm of course talking DDR400. Expect to pay at least $100 per 512MB.
4. A fast hard drive. I'm a big fan of the Western Digital Raptor, the first one. It's SATA, 10k RPM, 8MB Cache, 36.7GB is more than enough for a server, and it costs about $120. Invest in some sort of backup - raid, burn CD's, i don't care, backup your data because hard drives can fail at any moment without a reason.
The rest is pretty straightforward. Case with good airflow, namebrand PSU that will supply stable voltage, etc. on a side note i have to say samsung CD drives are the best out there, hands down.
just cause i'm curious, here's a basic breakdown of what the whole thing will cost with the parts i mentioned.
cpu $160
memory $200
mainboard $100
psu $50
case $50
hd $120
cd-rw & cd-rom $50
floppy $10
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$740 - not too bad, and that'll be an excellent server. and yea i assume you have a copy of xp pro laying around heh.
lastly my disclaimer
if you've never built a computer before, don't. at least don't do it with your server, practice with crappy parts. if you have a friend that says he can do it, definately don't unless he's a technician of some sort. i work at a tech shop part time and you wouldn't believe the screw ups i've seen, we get in at least 2 - 4 people a day that have messed up machines cause they were gung-ho about building their own machine, and this is a small shop i'm talking. the friend thing is a HUGE cliche. its pretty simple but you should be very savy with computers or the little things are gonna degrade what could be a good machine, things such as being able to tweak around your bios without killing things, how to update drivers when the installer doesn't work right, knowing the cause of small glitches, etc.