It depends on what you are dealing with, how bad the buildup and whether only dust or some other grime like tobacco tar, which if bad enough to really need cleaned off, practically needs the parts pulled and washed in ammonia solution if a spray contact cleaner doesn't do enough. Do not expose aluminum (heatsinks, etc) to ammonia. There might be some rear motherboard I/O port housings that are aluminum too. Test with a magnet, if magnetic then it's not aluminum but if not magnetic, probably shouldn't get any strong cleaner like ammonia, bleach, or other strong alkaline cleaners on the area.
Lots of dust, I'll literally take a system outside and use a leaf blower, held far enough away to not be damaging. Once dust is down to a manageable level, I'll use a paint brush to dislodge dust, then I have an air compressor to blow it out but you could use canned air if the convenience exceeds the cost. If the condensation results in a little moisture depositing, let it dry before powering the system on again.
I wouldn't use a vacuum, seems to generate more static electricity and no need to when I can blow dust out in an area where not having contained it is not a problem. Right now with snow and ice outside, I would do that in my garage, then open the door to use a leaf blower to get the dust outside.
There isn't anything that I've found alcohol useful for in PC cleaning, except as a final rinse after an immersion cleaning, in which case it can result in a faster dry time with less chance of water remaining behind in nooks and crannies due to low surface tension, and being less conductive. Back in the old days, when rosin based flux was used, it could be more of an issue as a rinse unless you scrubbed off remaining flux residue but today it is a bit of the opposite, that if you only rinse with straight water, that can leave behind pools of water soluble flux residue. IMO if you're going to get it wet, go the whole 10 yards with a soak and brush and rinse, at least use a drop of detergent to break the water surface tension for final rinse if not using alcohol.
Alcohol to remove thermal paste? I usually just use a paper towel to wipe it off, has always worked fine though if you have the factory thermal pad goo, if alcohol cuts through that then it is a reasonable choice, but if there's a heat spreader on it, I sometimes try a petroleum based polish like brasso, so while removing the TIM I can also lap a smoother surface onto it, though if it is a certain generation of CPU with more, finer pins on the bottom, some care is needed to make sure you don't bend them... depends on the age of the system, environment, and filtration present. We could be talking about something a year old or 15 years old, before there's enough dust to bother with cleaning the whole system out.
I only run systems with filtered intake so if what you're cleaning out doesn't have filtered intake, I'd look into that so the dust cleaning burden is reduced in the future if not eliminated over the useful life of the system, especially in components more of a hassle to clean out like the PSU or video card fan(s). I wouldn't bother to clean dust out of the rest of the system if not doing the PSU too, as it is going to be one of the more problematic components from dust buildup.