Gather all of the parts within reach, or at least nearby. Have a container for trash. The case box works well. Accumulate your OS and driver CDs in one place so you can get them easily and keep them together after the build.
Tools:
1. I use a Philips bit in a magnetized bit-holder, which I can put into a cordless screwdriver, but usually I don't. Obviously be careful with anything magnetic, but I've used magnetized tools around PCs for >25 years and I don't think I've even killed a floppy.
2. I have needlenose pliers for tiny jumpers or pin headers.
3. I have a swing-arm lamp with a 13W CFL bulb that is bright and easy to aim. Lately I've also used a LED headlamp.
4. I have an assortment of case/mobo/drive/fan/etc. screws. I'll pour a sample into an overturned 5-1/4" drive cover, and then count out the ones of each type I need.
5. I use an extra slot-cover as a knife to cut the tape and/or plastic from component boxes as I open them.
6. I wear an anti-static strap for full builds, and bare feet to minimize static even further; every room in my house except the kitchen and bathrooms is carpeted.
7. Her Fluffiness is on the other side of a closed door.
8. I have an older, extra UPS I plug things into for testing.
9. I have a PSU tester I use to confirm that the PSU is not DOA.