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.