First one I built, I was expecting it to be a pretty technical process. I knew a guy at work who built them for people, and he made it sound like it was sorcery (he was charging for the service).
But... it's incredibly easy. Take one motherboard, add CPU, RAM, case, cooler, GPU, power supply - in that order. Put this bit in here, that bit in there, plug some connecters into the only holes they'll fit in, and it's done. The only mildly tricky part might be getting the cables to look neat and tidy.