Savour the first time, like many things, it might be awkward at first and you might have trouble getting it in there (heatsink) but the rewards will last you a lifetime-LOL
On a more serious note. Yes, building a system is very easy as long as you follow certain precautions.
1.) RESEARCH everything (parts&procedures) before you build a system- sort of an ounce of preparation is worth a ton of persperation later on.
2.) Buy quality parts- Especially MOBO, HSF, HDD Etc. .
3.) READ THE MOTHERBOARD MANUAL. THEN READ IT AGAIN. I can't stress this enough.
4.) Allow yourself the time to build your system especially if it is your first. It takes me 15-20 minutes to snap a system together before formatting the HDD and loading an operating system (I have built my fare share of systems). It should take you a hell of a lot longer for your first time DO NOT RUSH IT- IT MIGHT LEAD TO PREMATURE DESTRUCTION-LOL
5.) If you run into a problem stop what you are doing and try to figure it out without mucking around with the components etc.(e.g. setting the heatsink on properly). If you can't then post your problem on this FORUM.
AND for godsake don't turn your computer on without first properly attaching a HSF on your CPU. A few geniouses on this message board have posted doing just that, that is unless you want to buy a whole new CPU.
Ohh! ya ground yourself so that you don't charge up and ruin some component- cause static electricity and components do not mix.- Hairy animals carry static around with them so don't build your system with your cat rubbing your leg at the same time or with your cat(or any free ranging furry animal) near your components or you.
As for Linux, I don't know first hand but I have not heard of any serious incompatibilities or any for that matter. Probably more stable than MS windows.
Hope that helps and finally have fun doing it- call over your girlfriend, it is more fun when you have an extra pair of hands to help you out.