It's really not hard, and much easier than it used to be. Not much different than putting legos together. With websites like pcpartpicker.com you can easily see if the stuff you're getting is compatible.

Strangely, though, it's usually cheaper to buy a ready-built computer from Asus or Dell or whatever, and then upgrade what you need. The cost of a Windows license really drives things up for the DIY-er, where Microsoft makes deals with major manufacturers to sell their licenses in bulk. (If you install Linux, of course, this isn't a concern.)

Maybe I'll do a tear down and rebuild of one of these dump machines to show people how easy it is.