The CPU is going to be the hardest part, and the most costly if you screw up. Back in the old days, CPU installation was easy. You just flipped a lever, dropped the CPU into a socket, pushed the lever down and you were good to go. Today, the pins are on the motherboard, not the CPU, and it's easy to bend them if you do it wrong.
For example, the LGA 1155 platform used in Sandy Bridge and Ivy Bridge processors. The socket area has a lever which holds the retaining piece in place. To install, you flip the lever, open the retaining plate, remove a plastic cover insert (do NOT throw that away, you want to put it back on immediately if you ever pull the CPU off for an extended period of time) and you're ready to put the CPU in.
The CPU will only fit into the socket one way, and has notches cut in it to be sure. If you don't put it in the right way and try to clamp the retaining plate on, you'll bend the pins on the socket, ruining it, and maybe even damage the processor. If you've got it in the right way, but the CPU isn't sitting properly in the socket, the same thing can happen.
It takes a lot of force to push the lever down with the CPU in, you'll probably feel like you're going to break it. As long as you've got the chip sitting right in the socket, it will be fine, but that much force will break it if you don't.
Read the installation instructions which come with the CPU carefully before you try it. Failure is expensive.
Also, thermal paste application can be tricky if you've never done it before and aren't using the stock heatsink. The stock heatsink will have the proper amount of paste pre-applied to its bottom, so you just seat it and you're done. Intel stock coolers have awful mounting mechanisms, though, and the plastic push pins are very easy to break. Be sure to follow the instructions exactly for installing the heatsink as well. Not mounting it correctly could damage the pins, requiring you buy a new heatsink, or make poor contact with the CPU, overheating it.
Aside from the CPU, everything is cake. It's just pushing things into slots, screwing things in, connecting cables, etc.. Connecting the case to the motherboard is a bit of a pain, but the motherboard's manual will tell you which pins connect to which posts.
Most people have difficulty with the HSF. Intel's HSF connectors are very hard to get in correctly, and many people don't get it right on the first time. There are some better HSF's out there and have better and easier ways to install them. The bottom line is to take your time, read and watch videos. Also spend the time to manage the cables in a way to allow for the best airflow.
Almost everything goes only one way, although it is possible to misalign some pin-headers (like USB and front audio connectors). If your chosen case doesn't already have raised bumps or standoffs already installed, be sure to use those, everywhere there is a mobo hole for a screw, and only where there is such a hole (to avoid shorts). Remember that a PSU that is plugged in and turned on will be providing its +5VSB voltage, so do not turn on the PSU until all components are installed. If you've dealt with the tangle of wires that is replacing a PSU, you should have no problems.
It is best to use an anti-static wrist strap. Charges as low as 30V can damage components; you won't feel it yourself until it gets up around 200V. Do not roll around in an office chair while building. My whole house is carpeted (except the kitchen and bathrooms), so I build in bare feet to avoid picking up static (and I use the strap).
Proceed in an organized manner; have all components at hand when you start, and decent lighting in your work area. My balance sucks, and I remember stumbling as I went to get something and tromping on a SATA cable, snapping the connector off a brand new drive.
Just take it slowly, and double-check your assembly before powering on for the first time.
the cpu are keyed...they only go in to the cpu slots one way. with the ps not in the case do a dry fit of the mb and put the case standoff in. with the mb outside the case put the cpu and ram in and have help with the cpu cooler. it easy if someone hold the board and one side of the aftermarket cooler/back plate when you try and tighten the screws down. the second place is when you line up the mb to the mb standoff. the padding of the i/o shield will make you need to push the mb in a little to line up the standoffs with the screw holes. the cheat is to put the screws in 2/3 of the way in on the 4 sides of the mb them come back for the center ones.
hey thanks a lot for the responses, I'm pretty confident I'll manage, unless I run into any unforeseen problems. I'm a very careful, thorough person, being careful and delicate with stuff comes natural to me.