Prox> Not that hard, provided you have the right tools.
Just cutting a case window only requires a saw, file, and the plexiglass and adhesive. Many folks prefer using a Dremel because changing bits allows you to cut and file with the same tool. All you have to change is bits.
For the most part, minor mistakes are easy to cover up. Big ones might require that you scrap the case and start over with a new one. From that aspect, it could be expensive.
Beyond that, there's a ton of stuff you can do. The window mod itself has become rather overdone. The ones that are nice are the ones where people really show their imagination and creativity.
Things like custom paint jobs, irregular window shapes, etc. Those are the cool mods.
Check out the Cow Case at
http://www.fast-mhz.com/casemods/index02.shtml. Notice the window cut on the side of the case. Very cool.
The trick is to make them both stylish and functional. Make the mod conducive to getting extra performance out of the PC.