It's not as bad as you fear. Most leads are asymmetric, but to go through your points...
For instance I appreciate I need a lead for each hard drive, but which sockets do they go in? Will any Sata drive do, or like the PCI slot for the graphics card is one slot better than another - the manual doesn't say? Yet I know that there are Sata 3 and Sata 2 drives.
SATA drives will work in any slot, but it's best to us the ones with the lowest number for no reason other than it's neat. SATA 3 cables are visually identical to, and backwards compatable with SATA2 cables. They are "L" shaped, so only go in one way. Likewise SATA power cables are unique to SATA and only go one way.
I know the fans all have leads going into the mother board and indeed from the power source, however I don't know which fans should go where, other than the CPU fan, because they says where to plug it in? Also what if my case has less fans, or more? Will there be enough leads, do they come with the case and besides power are there other leads to plug in that control the fans speed etc?
The CPU fan is usually marked on the motherboard, and the other fan points will be labelled. You don't have to use any (well, the m/b will shout if you don't use the CPU one, so use that). Oh, they are asymmetric too, so you will spot if they are on backwards (I did once have a fan miswired, but that's very rare). Case fans don't have to be powered via the motherboard, it's up to you. The third pin gives a bit of fan speed control which may make things quieter.
As for fan positions, well you need to think how you want the air to move through your case, then attach fans appropriately. Don't be scared to experiment.
Also there is mention of various leads that light the led in the front panel and leads for usb, sound etc, do these leads come with the case or do they come with the mother board. Will I know which goes where? What I mean is are they obvious to distinguish?
Usually the case has them, and they will be labelled both for polarity and what they do. These can be a pain to attach as they are fiddly. ASUS does a neat trick with a sort of sub-block, if you have an ASUS m/b.
My worry with all these different leads, is either I'll plug in something I shouldn't, miss something I should and in either case damage something in the process. IS there any resources that make this idiot proof?
When it comes to plugging things in this is where it seems what I've seen and read is most nebulous. The manual does a good job of showing you the motherboard sockets and telling you some what what needs to be plugged where. But I've never done this before, so before I start this I want to know everything that can go wrong so I can anticipate it in advance. SO once again your help or links or videos are much appreciated.
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Most leads are unique and not symmetrical. Some old floppy ribbon cables could go either way, but I doubt you have any to worry about. The M/B power (ATX) can only go one way. The CPU power will only go one way, the graphics power will only go one way...
You can, if you try hard, damage things, but you sound cautious which reduces your risk. If you need to force something then stop. Think, check. It's a bit like Lego! If it does not fit most likely it's not meant to.
Good luck!