I really like the whole process of building a new PC and that's something I didn't think would happen initially. Once you get a good grasp of it, there will be less headaches in the long run and it'll save you cash, so I say go for it. After dealing with some hit and miss stores, I've been shopping at Newegg (online joint) for some years now and they've always been reliable and pretty fast (lol that sounds like a plug but since you said you didn't know where to start I thought I'd share my experience).

It's easy enough to get help online to find out what are good and compatible combos but as Chirone said, see if you can get a buddy to assemble or at the very least slap your hand away if you're about to do something stupid.