<< All the really good stuff happens when you try to load an OS for the first time. >>
Exactly - apart from that, the only typical snag are the LED cables and such. Installing the heatsink and fan really isn't that bad just because there's such great, detailed documentation either included with the parts or on the web.
So, DO NOT INSTALL EVERYTHING AT ONCE! When people come in here crying about their systems not working, and then give you a laundry list of video/TV cards, sound, optical drives, RAID arrays... you don't even know where to start looking. Even if they installed stuff and pulled parts out in order to troubleshoot, who knows what kind of damage they did to their registry and system files beforehand? First, boot with a video card, CPU, RAM, and floppy drive from a boot floppy - that's it. If it works, add a hard drive and CD and install the OS. Then install your network component. Everything else comes after installing 4-in-1's and windows updates.