My thoughts on home built machines.
Pros:
You learn a lot about the machine - which helps when something goes wrong.
You get a much better warrantee on may parts without paying through the nose (HDD's 3-5 years, videocards 1-5 years, memory up to and including lifetime).
You get exactly what you want in the machine, no compromises and no nasty surprises when you want to upgrade.
Cons:
Can be very annoying if you get a niggling problem during the build (always keep a working machine handy for googling, and downloading drivers).
These days you don't really save much money on home builds (unless you want a specific setup) - not when you allow for the software bundles prebuilt units have.
I've been giving it some long hard thoughts, as for the past 8 years i've been a DIY man, but there are some deals that make prebuilts look good to me.
However, when i look at pre-built machines I still see the compromises (and costs to get over them), so I think when I upgrade my machine this year i'm going to go DIY again.
As for building the machine, as several people have said it's not really a major problem, if you can build a lego model you've got a very good chance of being able to put a PC together without any problems.