It's not that complicated. I know how to build one. Just a few pointers:
1) Keep in mind Windows machines have hardware problems. Make sure the hardware is compatiable with all the other stuff you have crammed in your system.
2) Remember to provide the proper cooling to the proper parts. I recommend a liquid cooled system, because it's very quiet without fans.
3) Learn BIOS before you start. Know all the settings and what they mean.
4) You better be good with troubleshooting. No company to call for help. You figure out the problem, you get the replacement part, and you fix it. And when you turn on that computer for the very first time, you may not have a clue what the problem is.
If you know a lot about computers, it's basically common. Building your own computer has a lot of benefits, but sometimes troubleshooting will come back and bite you in the ass.
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