The hardest part (and even this is not so hard) is making sure you buy compatible components (CPU socket type, RAM speeds, PSU wattage). After that it's basically plug and play.
Originally Posted by Keep
Don't get thermal grease on your fingers or clothes! It's hard to come off.. other than that I haven't had any "disasters". Also it's ok to put more thermal grease on the cpu than less, so err on the more side. :)
In general, not really. An amount the size of a pea should be enough. Then just put the cooler on and the thermal grease will dissipate.
Originally Posted by Man-E-Faces
I also got some thermal grease on a white shirt of mine - I just wear it indoors now :)
This is still the best overall guide I've seen on different thermal paste application methods.