As somebody who has built most of his desktops, I'd say it's not really worth it unless you have a lot of free time and are trying to save every dollar possible.
It's not too hard to clobber a pc together, but to really make a solid build, you need to know a lot of details such as PSU rails, effective case cooling, RAID setup (if applicable). And you always run that chance that some piece of hardware you get has a crummy driver or just so happens to act wonky with another. You'll occasionally run into problems where a new build just simply won't boot and install an OS and it might take you all day screwing with it. (I had a problem where Vista simply hung during install and apparently it was some obscure conflict the motherboard was throwing up. This is despite the motherboard coming with a Vista certified emblem)
But if you do have loads of free time, not much cash, and want a very specific build, then go for it. It's just not always as pain-free as it's made out to be.