If you know what you're doing, feel confident about doing so and have lots of spare time and can wait in yourself or get your spouse/mother/father/other family to wait in for deliveries when you are not in, then self build is the way to go.
I built my own computer recently and am pretty pleased with it. Although there were some problems (it took about 3 attempts to get the stock Intel heatsink/fan to snap into place properly and not at a wonky angle). There was lots of swearing and teeth gritting, and final relief that it went in. And then there is the 'excitement' and baited breath when you first switch the thing on - it could go on without problems like it did for me, or it could not go on at all or in the worst case, blow up. So read the instructions carefully and follow them to the letter - familiarise yourself with the parts, how they work and any special settings that they may have (e.g. voltage switches, jumpers etc). If you're a first timer, not reading the instructions is a recipe for disaster.
Also it will take time to select/order/build the computer and its parts - so if you need something quickly, then self build isn't always the way to go - it took me about 3 weeks to have all my parts as some bits were out of stock and I didn't want to fork out extra for delivery to ship them separately. It took me the best part of 4 to 5 hours to assemble the whole lot together and get the OS loaded on and it up and running - although stupidly, I chose a full format of a 200Gb drive which took the best part of one and a bit hours.
Also you get exactly what you want when you build it yourself. You don't have to pay for extended warranties or coverplans, you don't have to pay for a ton of software you don't want, need or use and you don't have to use Windows XP Home if you don't want to.
