I always build my rig one step at a time, making an effort to test at each step to eliminate problems early and make it easy to diagnose. After it posts for the first time I check the CPU temps to make sure it's not overheating. Most important is hours of memtest86 testing to eliminate ram problems. I was caught out by bad ram on one of my first builds which caused random bluescreens, so I like to eliminate ram as a problem early in the build process.
Once the OS is installed it's off to prime95 for torture testing overnight to see if the PC is stable. That's before I've installed any games or other software.
It can take a couple of days before I actually finish up the build properly, putting all the wires in neatly and installing peripherals and drivers. I like to make sure the basic machine is stable first, just in case I have to take it to bits to test something, or RMA a faulty part.