It really isn't very hard. I built one up on practically no experience, all within a day. Granted, I didn't build the wheels, and the fork was already installed. But, I did learn a lot about building and tuning a bike.

1. Decide on the basic idea behind the bike. I wanted a road bike for recreational use. Also, I wanted downtube shifters, a double crankset, and a threaded headset + fork (a little tough to find these days)
2. Find a frame. I would recommend going with the best you can afford. I used a Habanero titanium frame, which set me back $700. Make sure the fork you use is compatible with your chosen headset type. I actually bought a fork from Nashbar (Easton EC30 threaded), had it shipped to habanero, and installed with a 105 headset.
3. Buy the drivetrain and other parts. I bought the majority from nashbar, and used a 20% off coupon, which helped tremendously.
4. Assemble it. Took me about 8 hours working.
5. Go out for a short ride. Adjust things that aren't right. Repeat until everything is right.

Good luck! It's not as hard as it seems, just do it...