Building a bike with aftermarket parts will cost at least double the price of a decent complete.
Wheel bearings come with the wheels, but the headset and bottom bracket are sold separately.
The first thing to look for is a frame, think about the geometry you want. Steep headangle makes it a bit easier to do front wheel tricks. Short chainstays make the bike feel more nimble. Bb height also makes the bike more nimble. Toptube length is mostly to suit your height but also personal preference. Don't forget that the more nimble the frame is, the less stable it is.
Then build around that really. Pick some forks, stem, headset, and bars that you think you'll like. Don't fall for fashions and keep everything fairly neutral at first (don't get massive bars just because they're cool, they might hinder your riding). Then pick a wheel set, cranks, sprocket, bb, pedals, chain etc. Plus tyres, grips, seat/post, and brake set up if you want one (which I'd heavily recommend, otherwise you'll be too scared to go more than half a crank at anything and turn into a foot tall ledge ferret).
You'll be looking at spending about £1000 for a half decent custom build