GPU > RAM > Mobo > CPU > the rest
The GPU is usually a big component that is laughably easy to install. Goes quick, satisfying click and you're good to go.
RAM, pretty much the same thing as GPU times 4. No heft to the component and a little bit more intricate because of the slots being so close to each other. Not as bad when building a new rig, or when getting a new mobo upgrade at the same time since you can then install them outside the case.
I like tightening screws, especially 9 in a row. Enough said. Puts it at a strong number 3 on my list.
Not a huge fan of putting CPUs in, even though it is pretty straight forward. A mishap could prove to be a costly one, and I don't like putting pressure on stuff when building PCs. That CPU retention arm has been hitting the gym.
Anything else is just straight up boring. Cable management, storage, fans, etc. Bleh!