"It depends."
My opinion is that above a certain price point, everything is just about weight and appearance. There are certain design changes that offer more or less convenience (for example, old cup-and-cone bottom brackets are bulletproof but heavy and kind of a pain to maintain, so cartridge BBs were a huge tech leap forward--and external BB like Shimano Hollowtech II cranksets are a different design altogether) but many parts (front derailleurs, notably) have barely changed in design in the last 30 years. With those that haven't got big advances in technology, you're paying more just for a things like a different material, slightly more convenient clamping mechanism, a few ounces of weight, or color. So then you have to decide, what are those things worth to you? And as onemorebike mentions, it might be worth it to you to get spendy for your fancy road bike, but your winter commuter doesn't get more than what you can fish out of the bike shop's parts bin.
My recommendation is that you just build this bike with whatever you can get, and then upgrade as necessary once you know how all the different components fit together. There are a million parts on ebay, sometimes in full matching sets, that would be fine for a starter project. Once you know what you don't like, then you can swap them out for better quality as things go on sale:)