Wow, I was just looking at the old standby, the Linux Hardware How-To at linux.org, and it's way out of date. Even when it was current it wasn't very informative.
Check
Linux-compatible. They list both hardware and software.
In general, from my experience and what I've heard from others:
Matrox video cards are great for 2D.
Nvidia is the best choice for 3D.
ATI should be avoided.
Via motherboard chipsets are said to work best.
N-Force2 motherboards have worked perfectly for me.
SoundBlaster is probably the best supported brand of sound card.
Wireless networking is best with Prizm chipsets and one or two others that someone else knows better than I do, but most any chipset can be made to work using ndiswrapper.
All hard drive interfaces are well supported, but some of the cheaper interface cards (such as SATA RAID controllers) aren't. Plug all your drives into your mobo if you can, and you'll have no trouble.
Check the link for anything specific, like if you want to see if your favorite doohickey works well.