The most important thing is your component selection. Read reviews on AnandTech and other sites to get an idea of what components work well together and how good they really are. Then, cruise the forums to read discussions about them to learn about problems and fixes and get even more first hand info about how these parts really work in the field. Your first decision will be whether you want an AMD or Intel machine. Everything else flows from that. Take your time deciding which components fit your requirements and your budget.
Meanwhile, don't forget to stop by the Hot Deals forum and other sites to help make your money go further. For example, this week, Office Max is offering 256 MB of Kingston PC2100 DDR RAM for $9.99 after rebate. That's a decent computer full of RAM for $20 if you get two and you have a friend to receive the second rebate for you. They run this special about once every 4 - 5 weeks. Similarly, Best Buy occasionally offers a Lite-On 52x32x52 CDRW for $19.99 after rebates. The same is true for hard drives. If you can give yourself a 4 - 6 week window to buy your parts, you can save a lot of money and have more for those items where money really does buy better performanc, such as a better motherboard, vid card, monitor and/or case and power supply.
Back to your original question about building your system. The only tool you'll need is a phillips screwdriver, and a good calm eye reading the manual for your motherboard. The parts only go together one way... the right way. There is very little you can do wrong if you don't rush and make sure you understand what you're about to do before you do it.
