Just built two rigs this past Christmas, first time from the bottom up. Easy. The only thing that i'd say gives sweat to a first timer is the cpu and heatsink. The CPU is very easy but considering the nature of it it can be a little nerve racking the first time, with the "OMG am i doing this right?" and the "Please don't break!" feelings. But as long as you take the precautions it's not difficult at all. Now the heatsink can be a pain, but simply cause sometimes it requires a little more force then most like placing on the **** thing. Least that was how it was for the two stock heatsinks i used. Other than that it's just like a puzzle, put things in the places they fit and snap in and such... The mobo jumpers and case to mobo wires can be a little confusing first time but that is what the installation guide is for...
Just a few reminders:
Make sure the thing is unplugged to be safe.
Before touching the parts it's safest to touch a grounded object or if your really concerned get one of them grounded bracelets.
Try not to place parts down on anything that can build static [like a shaggy rug] or conduct [like a metal table].
Don't forget thermal paste! but dont use too much, gets real messy real fast.
Also, don't worry too much. Just remember if worse comes to worse newegg has an awesome replacement policy, just tell them it was DOA [dead on arrival].
And another piece of advice, check out youtube.com for video tutorials. Helped me a ton when trying to make sense of the heatsinks and such, sometimes watching someone do it first makes it sooo much easier.