As far as thermal paste goes, simply Youtube someone doing it. It's scary at first, but easier than you'd think.
The crucial thing is that MAKE SURE YOU DO NOT GET THE THERMAL PASTE ON ANY OTHER SURFACE. Can cause all kinds of problems, including irreparable damage. Also, it's extremely toxic, so do not get it on yourself either.

Once you've built the whole thing, go to BIOS and simply watch the temperatures for about half an hour or so. Overheating can kill your rig very easily.

Building your own rig is a pita, but good luck! It's worth it!

edit: oh and nothing beats RTFM. Make sure you thoroughly follow the installation guide accompanying every single component.

I actually avoid using thermal paste. Like the plague.

As for building it outside the case, yeah you can make inserting the CPU and CPU fan easier that way. But I don't connect power until it's in the case. Then again I've got so much space in that case that I could probably fit a whole other computer in there so it's not so fiddly for me as it might be otherwise.

There is a lot of advice I could offer. Knowing specific worries or problems makes it easier to think of things though. Make sure everything is in properly. Screwed in. Clipped in. Whatever. Make sure it's in properly. Make sure everything has power. Especially anything directly connected to the motherboard like GPU and CPU. That's how you can cause damage by not getting those the power they need.

You may also find (depending on your motherboard) that connecting the power and reset buttons to the motherboard is a bit like trial and error. Don't worry though. It might take a couple of attempts but nothing bad will happen if you get that wrong.

Long time since my last build, so take these only as pointers.

The thermal paste is used to flatten any irregularities on the cpu (there shouldn't be any) and the fan, since any irregularities mean there will be air there, and air is a very bad heat conductor. By applying the paste, all irregularities are filled with it, and you have a better heat movement from the cpu to the fan. Make sure that the whole cpu will be covered, else you will have air pockets, thus making the thermal paste useless.

The minimum you need to run the computer are the cpu and memory chips, with a video card been recommended as well so you can see what is going on. The drives can be added later on, once you've seen that the computer boots. The warning about not turning the power on is mostly because if you try to connect something with the power on, you will probably cause damage. Just make sure to turn the computer off, remove the power cord and any other power sources, ground yourself, and then move on to the next components.

As for the final part, best advice I can give you is that all electronics should fit with little to no pressure. If you fear that you are applying too much pressure for it to fit, stop trying, make sure that is the way that it fits, and then try again. While they are not so fragile, they shouldn't really need that much force.

P.S. The above post was interrupted a few times, so it may not be coherent.

THANK YOU, ALL OF YOU, very, very much.

I am nervous, but the thing is, assembling it I feel pretty good. I've replaced so many components myself I could've almost assembled one. I've never put in a new motherboard, or a new CPU, but other than that, I think I've taken out and change every other component at least once.

The part that scares the living bejesus out of me is the part after assembly. Actually getting it to work WITHOUT bugs, constant crashes, weird noises, smoke, fire, and/or small (or large) explosions.

I'm so hoping this Plug N' Play feature hasn't been overrated. lol

EDIT: Almost forgot! +1 for all! I really, really, appreciate all the help and advice I can get.

This reminds me of Saturday's laptop problem... all the parts were pulled out, and we (me and two friends) had to put it back together. Building a desktop is so much easier. -_-

Anyways:

1.YES!

2. Forget what you read on Newegg. Piece by piece, put together the machine. Make sure you're building it inside the case, not outside.

3. Most common mistake is not setting up your BIOS clock properly. On first run, go to the BIOS and set up the clock. Second common 'mistake' is not connecting parts to ports 0 and 1... trust me, it makes debugging later a lot easier if you connect to ports 0 and 1 (usually, this is SATA ports (and similar ones) related).

HDD in port 0, optical drive in port 1... NOT HDD in port 4, optical drive in port 2... you know, just because you thought those numbers were 'awesome'. Again, it won't matter much, but it'll make solving later problems easier. Connecting LEGO blocks is a lot harder! That one at least requires creativity... so don't be nervous, and just connect every cable to the similarly named port.

THANK YOU also.

Like I said, physically putting it together I feel pretty good about. It's getting it to work correctly after it's built that scares me. I almost have zero clue about the steps to take once I'm done physically putting the parts together. But I do have one more video to watch that is supposed to answer a lot of those questions.

Right now, I am still reading, reading, reading, the manuals that came with the motherboard and case most especially, as I'd like to, BEFORE I start, get a feel for what features of the case and/or motherboard that I definitely want to take advantage of and which ones I may let go.

For example, this motherboard comes with Lucid Virtu technology, which is supposed to help performance in games for those that use a separate GPU. In other words, it's supposed to take advantage of the "wasted" GPU capabilities of the of the CPU when one runs a discreet GPU.

However, I'm already going to be running two cards, so I'm wondering if this possible performance improvement is worth it or if it may in fact actually slow things down as another process or app always running. I simply HATE how much stuff is always running on computers I buy and would love to be able to minimize that as much as possible.

The new laptop I got was a prime example (the one that is now on it's way back due to a problem with the order -WRONG MODEL). That thing had specs that should make it run something like Fallout 3 without breaking a sweat. But there were several delays, screen sputtering, etc, and I swear I think it's because of all that crap MSI put on there that is always running (including not only processes, but two apps that ran continuously). I'm no expert, but I would bet that would HAVE to hinder performance when you're running all kinds of crap all the time. And I would also bet that at least half, if not most, is totally unnecessary and should just be run when one needs it.

Whew, there I go again, rambling out a wall of text. My fingers have diahrea. Sorry.

I was in pretty much exactly the same position. It's not difficult as long as you read the documentation first. The only thing that threw me at first were the power and reset cables. Small, vital, but seemingly very un-standardised. But that's just a bit of trial and error.

Like you say, your knowledge is most of the way there already. Actually buying the parts was most likely the hardest part of building this new rig. Making sure you're buying all the right parts isn't always that easy.

I too, was quite wary about building my first comp from the ground up. However, the process anymore is pretty much painless.

About the thermal paste...make sure that your CPU fan doesn't already have some applied to it. My stock fan came with some already on it, so it made my purchase of a tube of the stuff redundant. You probably aren't going to need any unless you are using a different cooler than what comes with your CPU (presuming it indeed came with one). And yes, you can use too much paste.

One thing I would suggest...be careful with the standoffs and attaching the mobo to the case. It can be relatively easy to crack the board if you screw them down to hard.

You might also find yourself in a bit of a quandry with the CPU going into the socket. I was really scared that I was going to crack the board with how much force it took to get the locking clamps in place.

Make sure that when you put the RAM in, you are going by the suggested placement in the mobo manual. If you aren't using all the slots, it may require you to put RAM in specific slots.

For my build, I ended up using a RAIDMAX Smilodon case. I think this thing was great for a first build. Both sides of the case folded down, so that I could work on things without being in a weird position or having to work around a bunch of cables.

I prefer top-mounted power supplies for the fact that there's more air flow around them. If you have your comp sitting on the floor (on carpet) you also aren't having it vent directly into the carpet, potentially getting it clogged. And since heat rises, I'd rather not have the PSU underneath the video card or motherboard/CPU, making it somewhat tougher for those items to dissipate heat.

Just my $0.02.

Make sure you are grounded, take your time, read the manual (especially the "parent
board" one) and you should be fine. Fucking up when setting up the power/reset/led connectors
is to be expected.

1. Stock cooling fans (usually) have thermal paste pre applied, so just put the cooler over it. For custom fans, plenty of youtube videos guiding you through the process.

2. For first time building, do it inside the case, simplifies the process. For my recent custom fan and new case build, I built outside due to the heat pipe and cooler size. Almost all stock cpu coolers are small, so just build inside of the case.

3. First time advice? Put music/movies or tv on whilst you are building, something for you to take a break in between building it. Don't rush to the end and become mentally tired. take breaks and create an atmosphere you are comfortable with. I always do hardware stuff with music on.

Don't forget to post here when you're done:
http://www.gog.com/en/forum/general/computer_horror_stories/page1

e: also, as far as having a lot of bullshit running in the back, remember that you can always format.
Personally, I don't bother. I typically just buy a new HDD and run a clean installation of Windows. Yes, a lot of space is wasted by having multiple Windows installations, but it can help immensely with troubleshooting. Have had my butt saved a couple of times from rather nasty viruses. And you don't have to go through the entire ennui of backing stuff up. Time is money after all.

Ahmmm, can I ask for some.... motivational help.... or something??

I finished reading the motherboard manual, and watched the last video in the series, and, well, I'm scared now to the point of being frozen. I honestly don't think I can do it now it, and now I've done ordered and paid for all the parts.

Dammit I should've known better than to think I could do this. I just TOTALLY and COMPLETELY do NOT understand ANY of the BIOS stuff. None. I read it, it goes in my mind, and my mind goes WTF? and that's the extent of it.

Guess I'm gonna have to pay a geek to come build the damn thing for me.

Let this be a lesson for any other fence sitters out there. If you're not absolutely, 100% sure, you shouldn't order the parts. Yeah, I'm sure that's obvious to everyone, but just in case there are other morons out there like me I thought I'd share that advice for them. If you're not ABSOLUTELY sure, do NOT buy the parts. Cause returning all the parts just cause chickened out may be an option, but it's not going to be without consequences.

1 6-pack + 2-3 youtube videos and you will do it with ease mate... it is not that hard to build your rig

There's really not much to worry about in the BIOS. It pretty much auto detects everything and you should be good to go without fiddling with a bunch of crap in there unless you're overclocking.

Just start with your motherboard and get your CPU and heat sink attached.

It may be easier to install your hard drive(s) and your optical drive(s) before installing your mobo. Depends on your case.

One big tip right out of the gate: When you're inserting your motherboard into your case, make sure you have the standoffs (the posts that hold the mobo away from the case side) all in the correct place. Most cases have several standoff holes, since there are variations in motherboards. So make sure you have them in the right holes so they line up with the mobo holes.

Next do the memory, then the video card.

Connect all your wiring.

Triple check to make sure everything is connected and properly seated. When it all looks good, fire it up.