You pick what platform you want to run (AMD or Intel), then the chipset and go from there.
Most SFF based systems include the following: Case, Power Supply, Heatsink and fan (or, an ICE Heatpipe for Shuttle based product), drivers for the motherboard, Floppy, ATA or/and SERIAL ATA (if equipped) cables, an exhaust fan which typically is a 60mm variety,power supply cable, and of course the manual for the motherboard included. Guys help me out if I've missed anything.
Your responsible for the CPU, Memory, Drives (Optical, HDD, FD?) and in most cases, a video card though some SFF's come with embedded video solutions, they thankfully have an AGP port. Sound, LAN, Firewire, USB 2.0 and sometimes Wireless are all included.
That should about do it. Hope it helps,