The components I am going to use in my installation examples are as follows:
Intel Celeron 300
1 128MB stick of Kingston PC100 RAM
Abit BH6 Mainboard
Aureal SQ2500 Sound Card
Elsa Erazor III w/32MB (AGP Card)
Creative 56k Modem
Western Digital 20GIG HD (IDE Device)
10x Pioneer DVD-ROM (IDE Device)
3.5" Floppy Drive
First and foremost make sure you have some good tools. You don't want to be running around the house looking for something mid-way, so its best to have all the tools within your reach. All you really need is a Phillips head screwdriver, and a pair of needle nose pliers (just incase something falls in the case). That's really all I ever use.
Before you start you'll also want to make sure you have all potentially electro-statically charged items neutralized (this includes you), static electricity has the potential to ruin your components. To neutralize any static electricity which you may be carrying, simply plant your feet firmly on the ground and touch either the case or power supply, don't do this while the case is plugged in or you may just get a jolt. For the truly paranoid, you can also pick up a static wristband for about $10 at your local CompUSA and just be wary of any static that may be lurking nearby.