Easy things include installing M.2 drives, RAM, hard drives. (Just read the motherboard manual to ensure you use the right slots/ports for optimal performance.)
Medium difficulty might be installing the motherboard into the case (getting the rear I/O ports aligned just right) or installing the CPU with thermal paste into that motherboard, along with the heatsink.
Hard difficulty is just getting all the wires run without obstructing airflow (or just looking "ugly"), and the little wires from the case to the motherboard in all the right places. Also if you install AIO (all-in-one cooling), you may have to try a few things to make sure everything lines up and it all fits nicely in your case.
None of the above are difficult if you're experienced, but on your first run it might be tricky. And this doesn't include setting up the OS, tweaking and optimizing things... or knowing what to do if something doesn't work as expected. Sometimes you'll get a bad stick of RAM, but that usually gives off symptoms of half a dozen other issues, though with experience you start to default to that assumption, and find ways to rule it out earlier.
Having done it dozens of times, I find it quite easy, but I also know that when things go wrong, they can be scary, and occasionally expensive. (A friend once dropped a CPU and bent the pins irrecoverably!)