I might build a computer when I get older, just one question: you can get any part you want, regardless of the motherboard and things like that, right?
SpreadsPlague summed it up pretty perfectly.
People often post their builds in this thread to guarantee everything they are buying will seamlessly come together. Even if you are confident in what you are doing it doesn't hurt to double check with a friend, I feel.
Really you should start with the motherboard are work from there. That way you can immediately establish what RAM to get, what CPU to get, what case to get, and can then move onto deciding the GPU, storage, and finally the PSU.
I wouldn't worry about cooling so much, stock coolers are usually fine unless you overclock. But in the event the heat does get a little extreme, you can always buy a different fan/heatsink.