As far as actual order of assy. assuming all parts are in hand.
I do motherboard first. Install CPU, install RAM, install M.2 drive. If the system is to be an air cooler you sort of have to consider whether you will be able to reach all the motherboard fasteners with it on. With an AIO I typically wait to do that later. A point to consider here. I build on the mobo box. If you are in an area that is prone to static it is not a bad idea to have a wrist band, etc.
Look over your case and make sure that all the standoffs are in the proper location and number needed. At this point I also like to check out my screw bag (from the case) and make sure you know which of the fasteners for those standoffs. Good idea to look your case over to be sure it is the proper format and size for your graphics solution. I tend to wait for a moment to pull any of the backplates (I/O shields). I have found recently that a lot of cases like to have those where they "break out" instead of being removable and replaceable. It is important to consider whether they will do so without touching that area of the motherboard and possibly breaking something off of it while doing so.
Back to the motherboard. At this point I get out the power supply and possibly the graphics solution and put the proper power cables to the motherboard, graphics solution, basically put it together outside the case and power it up to be sure I get to BIOS before installing inside the case. Edit to say- At this point is where I often go ahead and install OS with only the destination drive hooked up. This can be dependent on your chosen cooling solution.
Look over your motherboard and your case to be sure you are aware how you will need to run your wiring. According to the case and power supply, alongside other factors you will need to determine if you can reach everything with/without the motherboard for cable management and access. At this same time if you are using 2.5 or 3.5" drives it is a good idea to look that over and plan out the method of attack for that as well. Check to be sure you can reach and install any planned cooling fans.
Once you have determined the rig is working outside the case, it is time to put it all together. Typically, I will pre-run any cables that need to be to hard-to-reach areas, get the motherboard in, get everything attached where it goes and so on. One aspect to watch here is whether the cooler you have picked needs to have anything put on the back of the motherboard and can you access that while in or out of the case.
The last couple of items are to get the graphics solution in, put in any remaining cooling fans or AIO, if equipped. Make sure everything is plugged up.
I highly suggest you power the PC on before doing the last details of wire management. In some cases, I will use velcro or twist sticks to keep everything roughly in place for the first 30-60 days so as to be sure nothing needs changed out or added.
Enjoy your new rig!