Welcome to the master race.
Aside from using a part picker to make sure there's no issues with compatibility I can't offer much advice on bargain hunting. I ended up spending over 2k on my recent gaming/work rig (monitor included though which was a biiig chunk) and it runs TW: Attila on Ultra like a pro. If you're talking USA (my price is CAD) and you don't need a monitor you'll be able to do well shopping from the usual online vendors (actually, I initially thought you said your budget was $800 - $500 is a bit iffy since a solid GPU is a big expense - if you already had one or could get one second-hand, a decent rig is still doable). I will say that for what I use my PC for, a big amount of RAM was the best purchase for value (16GB minimum, for real - if you're an alt-tabber, multi-tasker or grand strategy fan you will thank yourself).
If you can get a good price for an i7-6700k CPU it's definitely worth it as well.
Further edit: Just to give you an idea of how GPUs can run up the cost... mine was something like $800.00 (Canadian, so take about 65-70% of that for USD) before taxes, so... It pays to shop around if you're really looking for a bargain there.
