unless you plan on overclocking your chip, you don't really need to buy a heatsink, just use the stock one.
I agree with the DVD-rom idea, they are just that cheap
and if your going to be doing a lot of visual intensive stuff, i think 1 gig of ram would be better. Check out ScottW's thread about Ram.
http://www.techimo.com/forum/announcement.php?forumid=3 there are some very good prices.
On the actual building aspect, it is very easy. The only thing you will have to worry about is the thermal paste on the processor. besides from that, the "hard" or annoying part is setting up the software.