The last computer I built was actually the first computer I ever built. When my fiance and I got our tax return this past spring, we splurged on new machines. We ordered all of our components (many of them with beautiful, glowing LED lights) from the same online store and eagerly awaited their delivery. We actually drove half an hour to the UPS location to pick up some of the boxes early! Once we had everything, we unpacked it and spread it across the dining room table and took our towers out of the boxes.
We separated my gadgets from his and got started. Apart from listening to too many warnings about grounding myself, the hardest part for me was mounting the heatsink on the processor. The putty was a little bit messy and it was tricky to get the clasp into place... and then the wonderful, shiny, blue-glowing fan I had picked out ended up being too large because of the fan on the side of my tower! We also had to order another power supply because the one my fiance got didn't have enough juice to support his video card. I think we both learned to pay more attention to the measurements listed in product descriptions, and also to the power requirements of the hardware we were using.
All in all, I had a great time. I'd never tinkered much with electronics before, so doing something new and building something that I was actually going to use made me feel great!