Depends on the gases, i'm pretty sure you need a license to handle some gases but R134 is easily accessable by anyone.
problem comes with filling the thing as you need to be licensed to do this no matter what gas and if you do it illegally you face a hefty fine and possible jail time especially if you dont buy the recovery gear (~£500) as you'd be venting the gas into the atmosphere which is illegal for everyone.
A lot fridge parts wouldnt accomodate the load that a cpu would give out so if your looking at finding an old scrapped fridge your only really gonna be able to build a GPU cooler.
The building it aspect is easy aslong as you have the tools, knowledge and decent brazing ability. Filling it and tuning it to be something worthwhile is a completely different step though