IF you are building a bike from scratch, then go to http://weightweenies.starbike.com/ and choose all the lightest components.
All the small savings will add up.

Replacing parts one-by-one on an existing bike just for weight savings is insanity.
By the time you are done, you will have one whole bike, and a pile of parts that could build a second bike, and it will have cost twice as much.