Wheel building theory and component selection.

Wheels consist of....

hubs
spokes
rims - dictate spoke tension, higher tyre pressures, more inherent rigidity
labour - Practice practice practice... a craftsman's hand, a systematic approach and a lot of love. You want your wheels as light as poss. particularly at the outer extremities to minimize rolling mass ie: centrifugal force. Therefore light spokes, rim, tyre. Obviously not 'pringled' or 'buckled' but also probably more importantly not 'pear' shaped either. If the wheel is pear shaped
1.the distance between the edge of the rim and the centre of the axle varies. this means your lifted and dropped every revolution of the wheel. waste of energy, inefficient, bad. combine this with the tug of inbalance in centrifugal force = Pear shape not good.
All very hard to get right, impossible to get perfect but this is out goal anyway.

Spoke pattern..

is important and is usually dictated by the conditions the wheel is to be exposed to.
Radial looks nice and is light but doesn't deal with torsional loads very well. Ideal for a front wheel with no braking duties such as a front track wheel. Three cross, 4x or 2x for wheels that need to take a torsional load, particularly fixed and disc brake wheels. Typically 3x but depending upon rim/hub flange diameter 2x sometimes 4x - 4x kinda overkill though. what we're aiming for in terms of strength is spokes that exit the hubs' flange at a 90 degree angle. ...it gets technical aahhr... That's where rim/hub flange diameter comes into it. A small Brompton wheel with a big ol' sturmey hub will attain the magic 90 with a 2x. A 700c or 622 (road size wheel) will attain the magic 90 with a large ish flanged hub and a 3x pattern.
God there's so much to spoke lengths, patterns etc. and so dependent on your weight, riding requirements, service/ durability/performance requirements.... As a rule of thumb, a traditional 3x pattern for the rear wheel and whatever you like on the front.

Hubs.

There are well designed hubs out there and bad etc..
Low weight and silkie smooth bearing surfaces - (minimal friction), rigidity and durability are what makes a good hub. Freewheels are also a big issue to some but a bit of a taboo I guess round these parts.
Good engineering theory dictates the further the bearing races are spaced on either side of the hub, the longer it's gonna take to develop play (loosen up). The more polished and harder the surface the more reduced the friction and more prolonged the service life.
Hub spacing. The dropouts of frames have different spaces between them.
Big flange = Torsionally stronger hub. That makes it good for fixed, tandem, disc...
More holes in a hubs' flange the more spokes. More spokes = more weight, less force on each spoke so higher spoke tensions can be attained= stronger wheel.
Flip flop means you can have sprockets on both sides of the hub so you can 'flip' it over and alternate between different ratios or fixed/freewheel. Flip flops will state 'fixed free' or 'fix fix'. The thread that the sprocket threads onto is different for fixed and freewheeling sprockets. 'Fix fix' is therefore fixed gear on both sides and 'fix free' is... yep.
Cup, Cone Vs Sealed cartridge... Again massive topic
No.1 both can be replaced, serviced
No.2 both can be well or poorly sealed against muck
No.3 If not looked after both systems can develop play and kill the hub
conclusion: There are well designed hubs out there and bad etc.. both cone and sealed. I like sealed cos you don't have to keep your beadies on them the whole time. Lock rings tend to loosen off cones and the inexperienced probably will struggle attaining the optimum bearing tension. Most of us use our bikes day to day and value a degree of user friendliness over a slight -SLIGHT- sacrifice in performance only at the HIGHEST level - which is debatable anyway. At the intermediate level It's gotta be cartridges. Talk to the couriers and the mechanics out there. They'll have seen them all multiple times and will know which hold up the best on average over the miles.

Spokes.

double/tripple butted spokes are the only way forward. Superior spring characteristics over strait guage spokes, which relieve strain from the elbow of the spoke and it's thread (apparently). Obviously less massive = -rolling mass = good thang. A butted spoke is also thinner so there is also an aerodynamic advantage. *footnote*... Aero spokes... I find them irritating.
3.1.Nipples: Brass Vs Alu.
Alu = light
Brass = softer metal, durable, nice to work with

Rims.

In addition to the things the other guys have said (welded, milled etc.) there is also box section rims which are more rigid than standard rims. If you hacksaw through a box and a standard, the box/ 'deep v' will have a profile like a capital 'A' or 'D' the standard like the letter 'C'. so box is reinforced, tougher. Weight can be similar.
Spoke tension good for a wheels strength so eyeleted rims are better. Basically an eyeleted rim is one whose holes for the nipples have been reinforced. The higher the tension of the spokes the stronger the wheel. Contrary to popular belief, it's the spokes ability to deal with tensile load, rather than the 'toughness' of the rim that keeps a wheel round and true. Bear in mind a wheel is an elastic, dynamic structure rather than a solid, rigid object.
Load capacity= lacing pattern, no of spokes, consistancy and level of spoke tensions throughout wheel. By consistancy of tension I mean, are they all pulling their weight. If they are they will share additional loads more evenly.
*note* Open Pro is a truly lovely roadie rim. For track (rear) however Mavic recommends CXP 33 or 22. Can take higher spoke tens. so bit tougher. Better for the city streets, a little bit heavier I imagine but then it comes back down to service/ durability/performance specs.

Labour.

If you approach the project slow and methodically, there is no reason your first DIY wheels wont turn out fine. There is a lot to take into consideration, but don't loose heart, It's easier than it sounds and so much more satisfying than you can imagine. Anyway if you do get into a pickle I charge between £8 and £16 to sort out your little tangle of spokes depending on the mess. You should be fine though, I've still got the 2nd and 3rd wheels I built for myself! How hard can it be!!!????!!!

Regarding whole builds...
£48/£42 Double butted DT Swiss spokes (x64@£0.75each-black) (£0.65-silver)

Extra reading material:
The Art of wheel building. Gerd Schraner
Sheldon brown ??? possibly
Aylesbury training Group ????
Park tools ???