This list does not apply 100% to all systems being built but I think almost everybody has forgotten a needed part at one time or another.
Inside the case
CPU ________________________________ Make sure it's compatible with your motherboard
CPU Cooler __________________________ Make sure it's compatible with your motherboard if you're not using the stock cooler that comes with your processor
Motherboard _________________________ With or without integrated graphics?
Memory _____________________________ Make sure it's compatible with your motherboard
SSD and/or Hard Drive ________________
DVD and/or Blu-ray Drive ______________
Backup Device _______________________
Video Card __________________________ Is your case full-height or slim-line?
Sound Card __________________________ Built into most motherboards
Network Card ________________________ Built into most motherboards
Power Supply ________________________
Media Card Reader ____________________
Cable Management ____________________
Outside the Case
Operating System ______________
Applications Software __________
System Accessories ____________