Cpu, HSF and memory first, then install the motherboard. Put in the video card, and see if it'll post. If it does, you're off to the races, and you can start adding the other stuff. It sucks to put everything together and then find out it won't post.
I've been hearing some horror stories lately about people cracking their thunderbirds when they are putting the HSF on it...you might want to check into that, especially if you are using a heavy copper heatsink.