Youv'e come to the right place. First off, gary1 is right. Numerous things can go wrong becasue of the parts you pick: from CPU/motherboard/RAM incompatabilites to video cards too long to fit into your case. Submit your build list here to make sure everything is compatible. Don't worry too much if there is disagreement among the responders - we like to quibble amongst ourselves - if something is really wrong, it will get pointed out quickly.
When you decide on your case, check the feedback on Newegg - often times there are tips to watch out for in the build.
Just before all your parts arrive, read this carefully: