Local contractors are the best resource to use to calculate your costs....after all, it will be they who do the work.
Don't forget the costs for permits and inspections while you are at this.
Your utility company can provide you with the specs for bringing electric (and gas if needed) to your home. Many electric providers today will only bring power to the nearest pole, (if you're very far from the line, they'll tell you how many poles it will take to bring it to the edge of your property), and on that pole they will require you to place a meter base, and then run buried line from there to your home. If the ground has a lot of rock, you'll want to run your line inside conduit just for the added protection from the rock. The utility company can probably give you a rough estimate of these costs, or, at the least, refer a good licensed electrician to you.
By the way, I strongly suggest that the largest service panel available be installed, and that you start with 200 amp service from the electric company, whether you need it or not....giving you room to grow as needed.
Also keep in mind the costs of running electric to any shops, or outbuildings.
Well installation costs really vary because of location, and how deep you need to go. Call a well driller, and they can give you a rough idea on that cost. Some places require deeper wells than others, and your area's well driller will have a good idea of what is normal there. Again, I suggest 'over engineering' - plan on a slightly bigger pump... do not go with the minimum you could use, go deeper, etc.
In most places, no, you do not have to use drywall behind paneling, but you might want to seriously consider it for at least the perimeter walls, using at least 2 coats of wall mud over the joints, just to help act as an insulation and wind barrier. Double check with your local building code authority for the requirements in your area.
If you go with an all electric home, or use some form of 'green energy' in building the home, you may get rebates, or subsidies from the utility company, or the government. (For example, if you install a geo-thermal heat pump, you can get a tax subsidy in most states, and the electric companies will usually provide a rebate for all electric homes.
When I bought my home, I rewired it all.. the cost of materials was about $1k, and prices have gone up since then. Cost us about $5k to have a well installed, though I've heard of some homes near here costing more.
And don't forget your septic / waste removal. Many places now require that you have a minimum of 3 acres to install a standard septic tank and drain field....the well and drain field MUST be a certain distance apart. If you have Less than 3 acres, then you would need to install a more costly treatment system. (Someone near here spent over $10k installing not too long ago.)
Just a couple of other tips.... build thicker exterior walls for more insulation, use screws to attach the subfloor, instead of nails (nails can leave you with squeaky floors), and if you are going to have a garage / workshop, include running electric to it, and adding a source of heat. If going with a concrete slab, resist the temptation to run vents and plumbing inside it.....it costs more to fix any problems that crop up later.
Check with USDA Rural Development to see if you can get a very low interest loan for any of this.
Good Luck