It's a pain but it is actually very satisfying when you've finished and it works. You'll also learn a lot along the way, so when something goes wrong (as they always do with PCs irrespective of whether they're bought or built) you'll have more of an idea of what is wrong and how to fix/replace it.
Plus, as surprising as it sounds, it can get almost addictive, and you'll find that once you've built your first PC, you'll want to keep on modifying it and adding more stuff to it. Maybe add some neons, quieter fans, more efficient cooling, etc... the list goes on and on. Whereas with the Dell machine, you're more likely to feel almost intimidated by it, and will be unwilling to open it up and mod it, because you won't really know what's what.
Just my
