I concur with the other posters.
CPU pins are the most fragile part I'd say, be careful when attaching it to the motherboard.
Attaching the heatsink can be an ass. Especially if you go for a fancy one rather than stock (if you use the stock Intel cooler make sure it's attached properly. Mate of mine's fell off as the screws weren't tightened properly, luckily no damage was caused).
Inserting the little cables for the case are a chore if you've got hands like shovels like I have. Have a person with small hands handy when you get to this part

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A tip from me is once everything is up and running for the first few weeks at least check your temperatures.
Download temp monitoring programs (like Core temp) or use what comes with your hardware (like Catalyst Control Centre) and occasionally check your temps.
Check them ASAP if you ever feel the PC is suddenly running slow.
If there is anything wrong hardware wise with your cooling then this could cause your components to overheat and die.
CPU and GPU temps vary from system to system and country to country (if you live somewhere hot your temps will be higher) but on average under load (i.e. when running a game) below 80 is OK. below 70 is great. below 60 is awesome.
Temperatures are generally a little higher at first while everything gets bedded down.