There are a few challenging part in building your own computer, but nothing you should be scared of.
- The basic challenge is to find the optimal components for your purpose.
- CPU cooler assembly: Intel-provided cooler seems OK, but if you are concerned of heat and fan noise, you want to get aftermakrket cooler. Tricky part is to apply thermal paste on CPU surface and attach heatsink correctly.
- Cables: There are many cables to connect. Some tiny-head connectors like power, HDD indicator, USB, or audio can be tricky in terms of right polarity and pin compatibility
- BIOS setup after completing the build and powering it up for the first time.
All of the challenges will be more clear when you have the parts in your hands, but I think if you ever tinkered with electrical wire, even minor jobs, you can do it within couple of hours.