I've done numerous builds of older PCs, only one from newer stuff. The newer one started up right away. I've had problems ranging from forgetting to plug it in, to having a fried mobo... They usually start the first time though.
When he got his crap, and put it together the mobo made a funny noise. He took out one stick of RAM and it worked. This means that the RAM was dead on arrival (stupid corsair).
I have been blessed. Every PC I built has always worked upon initial startup. The only component I had to RMA was a Raptor hard drive because Windows software couldn't detect the drive.
Other than something beyond my control, like defective parts, it always starts. I don't make mistakes that stop it from starting the first time anymore.