I'd never done anything more technical to computer hardware than replace RAM until this past week - it wasn't that bad.
Here are the parts of my build with rough price estimates, could definitely be improved. One thing I'm noticing is that I might have been better off with a CPU with more cores - more workers to preprocess data. Would probably get the 6850 instead of 7700 if trying this again (Xeon would be even better if I wanted to make a >2 GPU machine).
Get a CPU with the manufacturer cooler (can be bought without), don't bother with a third party cooler for now. The first fan I bought was missing pieces, delaying my build, and if it has a backplate it will be the most annoying part of the build (and you need to install before installing your motherboard unless your case has a window to the back of the motherboard).
PCPartPicker part list / Price breakdown by merchant
CPU | Intel Core i7-7700K 4.2GHz Quad-Core Processor | $338.89 @ OutletPC
CPU Cooler | Cooler Master Hyper 212 EVO 82.9 CFM Sleeve Bearing CPU Cooler | $25.88 @ OutletPC
Motherboard | Gigabyte GA-Z270X-Gaming 5 ATX LGA1151 Motherboard | $180.91 @ Newegg
Memory | Corsair Vengeance LPX 32GB (2 x 16GB) DDR4-3000 Memory | $254.99 @ Corsair
Storage | Samsung 850 Pro Series 512GB 2.5" Solid State Drive | $229.99 @ Newegg
Video Card | MSI GeForce GTX 1070 8GB Video Card | $454.98 @ Newegg
Case | Rosewill THOR V2 ATX Full Tower Case | $114.72 @ Amazon
Power Supply | Corsair 860W 80+ Platinum Certified Fully-Modular ATX Power Supply | $154.99 @ Newegg
| Prices include shipping, taxes, rebates, and discounts |
| Total (before mail-in rebates) | $1805.35
| Mail-in rebates | -$50.00
| Total | $1755.35
| Generated by PCPartPicker 2017-03-02 08:05 EST-0500 |
You also probably want some larger normal hard drives too for extra storage of data you aren't actively processing.