Good question, first the toughest job, finding the right location. You want your building to be located somewhere where you have access to at least two different power feeds from two different grids. This location would also need to be somewhere that has easy access to multiple internet backbones as well as have a low enough water table to allow you to dig a nice deep, dry basement (preferably multiple levels underground). Then you can put up your new building containing a "hardened bunker" for the actual data center and upper floors for meeting rooms, shipping and receiving, office space, etc. You'll have multiple power feeds with automatic transfer and backup generators if all feeds fail. You'll need enough fuel capacity to run for a minimum of 4 days and have contracts for emergency fuel delivery. You'll need contracts with the generator company to provide repairs (spares) if a generator fails (and of course N+1 generators to begin with). Same with your heating and cooling. A proper security system, and guards. State of the art fire supression systems, etc. Only after all the basic infrastructure is taken care of can you venture down to the bunker and equip it. Raised floors, surplus cooling capacity including chilled water, secured racks and rooms for those clients needing it. And of course multiple and redundant fiber links to multiple carriers with load balancing / fail-over capabilites.
Once you have those basic needs taken care of you can get to work on the rest of the stuff.
- That's why most people lease space (co-locate), a lot easier/cheaper to have someone else do the work. Although if you are lucky you can sometimes get a good deal on an existing facility.