Most motherboards come with the stuff Crash mentioned. Many drives (especially retail-boxed drives) come with additional cables of their own. Speakers almost always come with their own cables; printers usually come with power cables but often do not include data cables. Modems typically come with a short phone cable. CD-ROMs usually come with a "CD audio" cable to connect to sound cards, but the CD audio cable often has the wrong type connector on the sound card's end.
Wake-on-LAN-enabled network cards typically come with a WOL cable. Network equipment typically does <i>not</i> come with data cables.
In short, the stuff you buy will almost always come with enough to get your system on its feet. Any odds and ends you end up missing can be bought later.
<A HREF="http://www.linuxfromscratch.org/" target="_new">LFS</A>: "You don't eat or sleep or mow the lawn; you just hack your distro all day long."