Yes, it's essentially a case of picking compatible components and plugging it all together.
It's the picking the part that's complicated – not just to ensure you get components that work together, but also that you're getting the best bang-per-buck for whatever you're spending. Building the thing is simple in comparison, particularly if you're already comfortable with upgrading components yourself.
When buying, you'll also need to consider that there's more inside a PC than you might ordinarily consider – power supply, fans, CPU heatsink, cables, screws to hold everything together, a case...
As long as you're careful and fastidious, I don't think there are any serious pitfalls – just little things to overlook. Failing to use paste between the CPU and heatsink used to be a common one, as was using an inadequate power supply, or buying a motherboard without enough expansion slots – or the appropriate memory slots.
Oh, and consider how you're going to install Windows 10 in an age where it's a download – you'll need to create an install DVD/USB flash drive on another PC first. Not an issue if you already have a working PC, but when all you have is a freshly-built PC with no operating system to boot from...