so first thing is getting your parts, and getting your ideas all down to know what you are going to need
personally, i went the route of buying a high powered LED and a 2.5" portable media player from ebay
your also going to need a projector case (you could make one, use the one it came in, order a box)
i ordered a LUX case for an oscilloscope, it was a free sample(which most of the stuff is) which i found with help from other
instructablesFree Electronic SamplesList of free sample programs for electronic componentsFree electronic samplesHow To Get FREE Electronic parts
your going to need something for thermal management, so a fan and a heat sink. i got my fan from an broken home theater system
and the heat-sink was another free sample
POWER, you need this for it to work... depending on what you are using for the LED and the screen, your going to be on your own for that one, unfortunatly. since the specs on my LED are 4.2V @ 5A and the PMP is 3.7V @ 600mA its roughly 25W needed.
orginizational things, because you want to have it nice and clear inside so its easy to clean when the beast gets full of dust.
cable clips, PCB boards, momentary switches for the controls