I build my bikes from the frame up with consultation and fine-tuning from my hubby. First of all, I let the pros install the headset and chace the bottom bracket. These can be tricky and the tools are expensive.* It just isn't cost effective to do that ourselves.

As far as chosing the parts, pay close attention to compatibility. This is the number one thing the stores complain about. People buy all the parts, find out stuff doesn't work well together and then show up at the LBS with their box of parts expecting the shop to magically make it all work like a finely tuned machine.

Do you have any friends that do this? Or would your shop let you come in to help and observe if you bring them pizza one winter evening? I'm with BatBike in thinking you will learn far more with a hands-on mentor, both in the parts-picking process and the building process. There are little tips and tricks about what to grease and what not to. What to grind down (such as cut ends of cable housing). Just a lot of little stuff that is easiest learned at someone's knee. Cutting housing and cable ends to the exact right length (I hear the boys in my LBS back in CA snickering now - just as long as they don't snicker at me).

I highly encourage you to find that someone and go for it.

*OK, you can install a headset with a homemade dowel system, but I wouldn't recommend it for a newbie.