I'm currently keeping a diary of my first build
here. To be honest I'm surprised how well it's gone so far, considering I have no tools and no real idea
Key is to work out the spec beforehand, make sure you know the diameters and the dimensions of every single part you're going to put on it, and it'll all go a lot smoother. Then read up as much as possible about fitting the complicated bits like the headset, and how to fit it without the proper tools.
It's awesome fun, I've been spending a few hours a night in the garage after work and it's great. Be careful though, and trawl the internet for bargains, otherwise it can get more expensive than just buying a pre-built one.