Like AMG said, the motherboard manual explains all the tough bits. Everything else comes with some sort of instruction kit, etc, otherwise is self explanatory.
Everything is pretty straight forward. Some tips couldn't hurt though.
Ground Yourself - Static is bad, very bad. Preferably use a static mat. Otherwise make sure you discharge any built up static before you touch any components. Make sure to do so frequently, as static can build up with minimal effort.
Motherboard Standoffs - Those little metal things that you must screw into the case before mounting the motherboard. They separate the case and motherboard so they don't short out. AKA don't forget them
Heatsink - If you have a large heatsink, or one with a backplate, don't forget to put it on before mounting the motherboard into the case. Also don't forget the thermal paste.
Start Small - Don't put all your ram, or more then one graphics card in first boot up. To minimalize the chance at a boot error just use one ram stick, one graphics card or integrated graphics if it's there. Also only put in one disc drive/hard drive. Then if everything checks out add the remaining hardware.
Don't Rush - Make sure you follow all the instruction booklets/manuals you gt with your stuff. Take it slow, and make sure everything is connected properly. Also before you attempt to power up the first time, make sure to flick the PSU into the on position
May save you a few moments of wtf.