There's a right way and a wrong way to do things
First, I should say that my way is the right way
If your way is different then my way, then it most likely is the wrong way
Certain components are timeless. Regardless of how good/different new stuff is certain items just haven't gotten better. For that category of parts you should use as vintage of an item as you can find. For example, titanium handlebars are fantastic. Carbon handlebars don't offer any real advantages, but do offer some serious disadvantages. So, when spec'ing a handlebar on a retro modern build, go vintage.
Other components:
Stems have only come so far
Headsets: a 15 year old King headset with no logos is just as good as todays
Seatpost: again, I favor titanium. Or something so boutique and special (like a Bold post) that it will always be worthy of a build.
Saddle: personal preference there, but I love the feel of a Regal.
Hubs: it depends on your options. Today's Hadley isn't any better than a 12 year old GT. Today's XTR M970 is significantly better than the original M900.
Brakes: a true vintage frame won't accommodate disc brakes, so there's not point in talking about that. But they will accommodate V-brakes. I can't think of any V-brake better than Avid Ultimate Arch brakes. Same goes for brake levers. It seems that today's stuff is getting lighter at a cheaper price point, but also is made cheaper and feels cheaper.
Rims: if you're a Mavic guy you may have noticed that modern Mavics are a little softer alloy than those from 10 years ago.
Good luck!