To say buying our house was "stressful" would be an understatement! (warning: long post ahead)
Spring 2000: We found a development of new houses, nice-looking, not too expensive, and not too far from our offices. We chose our model and lot, and put down a deposit. We were promised a closing date of fall 2000.
Summer 2000: About once a week, we visited the site. We had to sneak in, as we weren't supposed to visit the site unaccompanied, and they "couldn't spare anyone" to accompany us. The official reason was liability, the real reason was that they wanted to hide the fact that they
hadn't poured the foundation yet! 
Late summer 2000: They finally poured the foundation. As it dried, it cracked. Builder claimed he can reinforce the foundation. City wanted him to tear it out and re-pour it (= $$$ that the builder wouldn't be able to recoup from us). Deadlock.
Fall 2000: Independent engineer examined the foundation and said it had to come out. Builder still won't budge.
Winter 2000: Now it was too cold to work with cement, so nothing would happen until spring. There was a clause in our contract that said we could back out and get our deposit back if the house can't be delivered by 6 months from the promised closing date. It was obvious that the house wouldn't be ready by then. We exercised the clause and got our deposit back.
We contacted a realtor. She showed us several houses, ranging from very nice to "don't sneeze or the house will fall apart". We fell in love with the first house we saw. Our parents came up to see it and also loved it. That night we had a bid on the house. Home inspection turned up some problems, seller tried to play hardball, but he was desperate to sell, so we got a reasonably good deal. We closed on our house and moved in a few days later (between snowstorms).
So, long story short, it took us ten months to figure out that we could buy a house in one month.
Footnotes: Falling interest rates worked in our favor for the mortgage... and we saw the inside of one of the other houses of the same model we had chosen, and the rooms are TINY! We are so much better off
That house did eventually get built (I think the foundation was ripped out and re-poured).
My advice: Don't jump at the first thing you see. Don't let yourself get sucked into a bidding war to the point where you far exceed what you're willing to pay... let the house go and look for something else. Go over your finances with a fine toothed comb (your mortgage lender will!), and think about getting pre-approved for your mortgage. And I'm with thetalady, don't build your first house! The builder
will try to pull the wool over your eyes if he even suspects you don't know what you're doing.
Good luck!
ETA: Can't believe I forgot to mention this: Use a realtor. Not contacting a realtor from the start was the biggest mistake my husband and I made. As the buyer, you don't pay a dime for the realtor's services (the commission is paid by the seller). And all listings are shared, so going with realtor X doesn't mean you'll only see houses listed by realtor X - you'll see them all regardless of who the seller's realtor is.