The only gripe I've had with the few I've built OOB is this- chase out the holes for the metal axles on the tires. Clear out any globs of chrome or clearcoat, or the axle mounting boss will shatter. Also, the axles seem a bit too wide on some of them, and they're pretty thick, but the 'too wide' thing might have something to do with the mounting bosses on the wheels, rather than the axles themselves. Aside from that, assembly is (wait for it...) a snap.
Just ordered another Ramblur today from STAR Models, thinking it might end up in a tutorial...