Been self building for a while.
The last fully assembled PC that I bought was from Gateway 2000. It cost me £2,500 and was a Intel Pentium 133 had a 2.5GB hard drive (two partitions due to FAT only handling 2GB), Matrox Millenium Graphics Card (later added a Voodoo 3dfx!) and 17" Monitor!! It was awesome.
Since then they have all been self builds. Pentium 2, 3 & 4 , Q6600 and currently SandBridge. Next will be either Haswell Enthusiast or Broadwell at end of Next year. Always used to use ABIT motherboards until they jacked it all in, currently using ASUS; Used both NVIDIA and AMD GPU's.
I am a PC enthusiast with an engineering background and like putting the things together myself. A benefit of building yourself a rig is that you literally have the choice of any component on the market. When you buy a custom build that is not always the case. The range of components on offer may not include a specific item that you would like.
That being said custom builds are generally soak tested which avoids DOA components and have a single point of contact for warranty issues (which is not the case if you are buying components from many suppliers).
A friend of mine recently bought a 3XS Haswell System from Scan, it was very good value and the build quality was superb. They were a little slow getting started as they are incredibly busy but once the process had started they provided good communication. The rig was incredibly well packaged for shipping, including (anti-static) packing inside the case and includes a three year warranty.
If you are contemplating a self build but are a little unsure, some companies such as Scan & Novatech do preassembled bundles of the Motherboard, CPU, Heatsink & RAM. All you then have to do is mount it in a case, connect up the case headers (make sure you get the Power Switch Header the correct way round) and power supply, Slot in a GPU and connect a Hard Drive/SSD and you are reading to install an OS.
What is right for one person is not always right for another, so ultimately you will need to make the decision on the way you want go.