Good site = newegg.com
Not sure about Canadians.
If you're Swedish (which I know no one here but me is) then dustin.se is the way to go if you're a student. Otherwise komplett.se usually has what you need.
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Canadians tend to use NCIX.
The only difficult part of putting my computer together was applying thermal paste, but once you do it once, it's easy. They also make new things that are like little squares that you burn in through regular usage to your computer. They are way more expensive though.
Also, when you buy a computer in parts, you might be unlucky and get a DOA product, remember to always check reviews. My motherboard came DOA. Had to wait two weeks for the replacement.