What should I keep in mind when building my house myself?
There is a lot to know. Shortest answer: you should let experts handle anything you're not sure of. 

You need to comply with local building codes (This also means you need to know what those are. Inspectors don't accept ignorance as an excuse.)

The design needs to be approved by an architect or structural engineer. There are strict requirements on footings, beams, etc, that you must follow, or you simply cannot use the structure. If you do not comply with building codes and inspection requirements, the property can be condemned and in extreme cases, demolished (with the expense assessed against the property). 

Once you start, you more or less need to make it weather tight. While the foundation is open (eg, a hole in the ground - whether it has the actual foundation itself built yet or not) it's going to fill up with water, which is not a great thing to have happen. Once you start building the wooden structure parts, you pretty much have to build the whole thing to be water tight. You don't want the wood to be exposed to water for long, and since interior floors are not designed for that, water tends to pool on them (which is how you get rot and mold). 

Basically the first bit consists of:


foundation
framing
house wrap
roofing 
windows/exterior doors


Once the structure is up, weather tight, and in compliance with building codes, you can now slow down and go at your own pace. You need to get appropriate permits (check your local permits department) for all the work as needed (hvac, plumbing, electrical). 

There are a lot of aspects to construction, and you need to plan most of them in advance before starting anything. (eg: You need to know where plumbing and hvac is being routed before you do any framing)

Major interior considerations:


plumbing (supply, hot water heater, waste, vents, and fixtures)
electrical
phone/cable
insulation (and vapor barrier)
hvac (furnace, vents, exhaust) 
drywall
interior doors
cabinets (kitchen, bath)
painting
flooring
trim


(Marked as community, since the question is extremely broad)