The case you buy will almost always come preinstalled with internal header cables (frontal USB, frontal audio, frontal firewire / eSATA / etc.)
The PSU should come with appropriate connectors for everything that needs power (4-pin molex, SATA power, 24 pin main connector, 4/8 pin EPS12V connector, etc.). Most PSUs come with an external AC cable (you know, the one you plug into the wall...) but some these days do not.
Retail-boxed motherboards usually come with several spare cables for SATA or IDE devices. Several SATA and IDE devices (hard drives, optical drives, etc.) often come with a spare cable as well.
Graphics cards (and some other components) sometimes come with cable adapters, such as 2x 4-pin molex to 6-pin PCI-E for power.
In short, I've rarely had to buy extra cables when building a computer, as long as I've purchased all of the parts around the same time. More often than not, you'll end up with a handful of extra cables, screws, and miscellaneous parts when you're done with a build. These add up over time, which is never a bad thing.
The only thing you may need to consider is the provided cables being insufficient in length, such as SATA cables that won't reach or PSU power connectors that are too short. The easiest way to check this is to Google your case and PSU to see if others have complained about the same thing (especially if you're buying a larger case, like the HAF 932, ATCS 840, various Lian Li / Silverstone full towers, etc.)