Gaming PC stores

pc partpicker has a compatibility filter, but better to check on the guys on buildapc before buying anything.

If you go with parts, pick a motherboard first.
Most compatibility things arise from that. It will dictate the type of processor, RAM, and case size you get.
(Alternatively, pick a processor, RAM, and a case, and pick a motherboard from the restrictions those will place.)

Assuming normal case sizes, one of the two gotchas on actual size I can think of might be the graphics card. If it's particularly long, it may stretch into the spare drive bay areas. That probably won't be a problem though, especially if you don't need a lot of hard drives anyway. The second size concern is the CPU cooler -- some get pretty "tall" -- either search it and your chosen case for other people's comments or actually take measurements from specsheets.

Most other things (within the dictates of the motherboard) are pretty much plug-and-play -- just inside the case with "proprietary" connectors and the occasional screw (mostly just hard drive screws) instead of having a convenient USB connector.

[edit] One more possible incompatibility I just remembered: PSU -- I don't remember the suggested formulas for figuring out how much power you actually need, but there's plenty of info on other forums that should help -- it mostly depends on your graphics card, if I recall correctly. [/edit]