There are many ways to build one, but this is mine!
Note that my build uses RetroPie, which is a highly configurable system. However, there could be a learning curve. This is especially true if you're not familiar with Linux or using the command line when you get into trouble. So keep that in mind! RetroPie is backed by a huge community, so help is usually just a Google search away.
Here's an alternate guide, but I only really used it to help me with overclocking so I could