Why? Because it'll dictate what motherboard you get, as both the CPU and motherboard need to be compatible. Don't worry, I'll suggest a good motherboard soon.
When you're buying parts for a new gaming PC, you generally want to get the latest generation CPU. While most games aren't super CPU-intensive, it's a good idea to get a powerful CPU that'll last you a long time if your goal is to keep this gaming PC for several years. With that in mind, avoid getting a Core i3.
The Intel Core i5 6600 is a great, mid-to-high end CPU that'll serve your gaming needs now and for years to come. It's part of Intel's latest line of CPU that are available to buy.
Its "socket" type is LGA 1151, which means it'll fit in motherboards that support the 1151 socket.
Price: $215