Well I don't really know where to start in picking out parts, since I don't have any favorites yet.
Don't worry about favorites. Here is the basics
1) Pick the frame that you like.
For the first build, I strongly recommend that you select a frame that has plenty of room between the plates. Compact frames look very inviting. But you have to be very minimalistic with the build. Almost like building a ship in a bottle.
2) Pick your motors.
I'll have to admit, the motors were the tricky part for me. The frame specifications will give you several different sizes that fits / works best on the frame. But you still have to decide which one and what brand. Depending on what you want to do, race / free style, you may select something "middle-of-the -road". For me, I just pick the biggest badest one that fits. You don't have to use all the throttle.
3) Pick your props.
Once again - frame specifications. Props are cheep. Just don't go to aggressive on the pitch. You can always buy more. Just remember, you need a (set). 2 CW rotation and 2 CCW rotation.
2 blades = speed w/ poor cornering
3 blades = middle of road
4 blades = great cornering w/ less speed.
4) Pick your Flight Controller
Main thing to consider is: Will it fit the frame. Check the frame spec's to see the physical size of the board required to fit. Also, here is where the planning becomes like playing a chess game (you have to think ahead and combine moves). Things to consider are:
a) Pick you OS: Clean / BetaFlight, RaceFlight. ect.
b) How will I power the board (direct from battery or PDB)
c) Will you need OSD / filters on this board
d) Is the board compatible with your receiver.
e) LED's ?
5) Pick your PDB
a) Will It Fit (physical size)
b) Will it provide power to your FPV equipment (Camera / FPV Transmitter)
c) Will it provide power for the FC
d) OSD power / filter (if not on the FC)
e) What is the power rating of the board (for the ESC's / motors) Will it carry the load.
6) Pick your ESC's
Physical size is a big concern here too. Frame spec's will help you with dimensions. Current ratings are really a "no-brainer" for me. Bigger is better. Go 30 Amp if they fit on the quad. Other things to consider"
a) Compatibility with the OS on the FC. Clean / BetaFlight, Raceflight. (you could always flash separately)
b) You shouldn't need BEC wiring.
7) FPV Eq and Receiver
I group these last few things together. By the time you get here, you should already have a good idea about what your going to do. Main things to consider:
a) Will they fit ( Check frame recommendations for size descriptions)
b) Did you provide power and filters from FC / PDB.
c) Did you pick equipment to match the voltage that you provided.
Did I miss anything?