Alot of people have this preconceived notion that building a computer is hard, and one of the benefits of building one is tearing down that misconception. Not to say that every build is easy as 1-2-3, but like everything else in the world, there is a chance to run into an unforseen problem. I didn't get my first computer until I was about 1998, im 30 yrs old now, and I have never attempted to build one before. I had never even seen the inside of a computer until then. I bought all the parts and slapped it together and all was well. It was definitely cheaper to build one rather than buy one, and it served it's purpose well.You learn something in the process and you can customize it to your hearts content.
Cons: If you go in blindly and don't do your homework, you can very easily waste lot's of time and money on a machine that will piss you off and make you regret trying to build it yourself.