Saw this first on Instructables.com and thought it would be an awesome project to do. Started out by making a shopping list of parts:
NES - $15
NES USB Controller - $12.75 http://www.amazon.com/gp/product/B000YD ... 00_s00_i02
40mm Blue LED cooling fans x3 - $26.85 http://www.amazon.com/gp/product/B007NZ ... 05_s00_i00 (after receiving realized I should have gotten 60mm

AC wall adapter 72w - $8.63 http://www.amazon.com/gp/product/B000VE ... 01_s01_i00 (again as I learn, wrong amount of power, will need to buy a new adapter)
2 Port USB 2.0 External Slot 4 Motherboard Connect x2 - $5.98 ebay.com
Slim SATA to SATA Data and Power Combo Cable - $3.53 ebay.com
ATX 20 Pin TO 24 Pin Female to Male Power Adapter Cable - $2.73 ebay.com
GIGABYTE GA-E350N-USB3 AMD E-350 APU 1.6GHz Dual-Core motherboard - $104.87 ebay.com
PICO PSU-120SV Mini DC-DC ATX Power Supplier,12V Input,120W - $25.95 ebay.com (may upgrade to 150W just to do away with the 20 to 24 pin adapter)
8x/24x SATA Slimline DVD Drive - $10.00 ebay.com
I feel like I'm forgetting some stuff but I'll add as I build. Wish me luck!