I've done it many a time. I found it works out great when it comes time to upgrade, because you can do it piecemeal. Over the years I've lost count of the number of systems I've built for me and others. The last computer I built for myself from scratch was 5 years ago, but almost nothing is original-
ATI video card
64mb of EDO ram
SoundBlaster PCI 128 soundcard
Maxtor 6 gig ATA/33 hard drive
Since then, however, I've made the following upgrades
HP 2x2x6 CD-RW
ISA 10Mbps network card
128 MB PC100 RAM
Sanyo 6x4x32 CD-RW
8 gig Maxtor ATA/33 hard drive
PCI 10/100Tx NIC
256 MB PC100
new case, system board and Duron 600
WD ATA-100 60 gig hard drive
The hardest part is figuring out what you want to buy. But after that first time, you can then pick and choose what you want/need. I'm still using my orginal video card, because I don't do much gaming, and havn't seen the need to upgrade yet.
The actual assembly is easy, just becareful about ESD, especially in the winter when it's this dry out. Getting everything to work, is not always easy. I would recomend starting out with just the system board, video card, CD-ROM, and hard drive. Get your OS installed, and everything working. Then add new components one at a time. DON'T FORGET TO GROUND YOURSELF. Double check all your jumper settings, don't try and force anything where it won't fit. Just about every part is keyed in such a way that it will fit easily in just ONE way.
Just remember, now when you read that part in the help file about "contacting the manufacturer for more assistance" that's now you. Feel free to e-mail me with any questions, I've been doing this $hit for 8 or 9 years now... god that's scary...
Happy contrails - I support B747Skipper and Jetguy