I built my first bike in the summer, a Planet X London road. to be honest, I used most of the parts that were listed on the site for their full build of the bike, but interchanged parts with knowledge I had already. For instance I was happy putting on different brakes and a different group set, however I purchased the wheels, handlebars and stem as if it were the retail bike they sell. Overall I paid about the same price as their entry level version of the bike, but ended up with equipment on it that would have made it the more expensive model (e.g. mine has disc brakes).
I learnt a ridiculous amount from doing it. Made one or two small mistakes which have cost me about £30 since (spoke protector, need I say more). Overall though, this is the way to go for me now. So much so, I have just finished overhauling my Dads bike for him.