Even if the pricing and general specifications for a vendor-built machine were essentially the same, I would always lean toward building a computer myself. This comes from experience and a few easy to comprehend facts. First, when you buy a computer from a vendor, your support comes from the vendor. If you buy the components separately and register them yourself, you gain access to support from the manufacturer of each individual part. Second, it's very difficult to find out exactly what components are in computer purchased from a vendor. They may say "80 GB hard drive" but they don't often (if ever) give you the model number, cache size and other details you may want to know about.
Finally, it's my belief that it's always better to start off with a blank hard drive and populate it with the software you decide to put on it, not pre-loaded stuff that you may never use and may have a Hell of a time tracking down and deleting (does a gamer need Microsoft Money pre-installed?). The so-called "recovery disc" that comes with many pre-built computers can be a nightmare here. After you get your computer software set up the way you want it, any problem that you have sometimes requires you to restore the computer - unwanted apps and all - to the state it was in when you bought it. I'd spend a lot more to build the same machine myself just to avoid these pitfalls.