It's one of those trade-offs really. You do save money by putting your own system together - and it's great fun doing so and allows for a more flexible selection of components than built-to-order systems generally allow.
But on the other hand, it does take time to assemble everything - and if you have a problem (with memory say), diagnosing it and fixing it can be a right PITA.
So, you trade your time for the money and the enjoyment depends upon how easily it goes!
I've just bought an overclocked system from OCUK. I had intended to build my own this time but realized that I'm too short of time at the moment to do that. I must say, the system I've got from OCUK is really good!