If you question weather you are getting the best price on a list of components i recommend going to www.tomshardware.com
This site allows you to search for a component and then lists where you can buy it and the price you will pay...it typically lists anywhere from 2 - 15 different vendors so you can quickly compare prices between all of them.
I build PCs for a living, both for the compnay i work for and as an independent business. The reason i like to build PCs from scratch is so that i know exactly what is getting put in there, so if i have to work on it in the future, i am familiar with every aspect of the machine.
I can also use the best quality components. Alot of your manufacturers will sell you an AWESOME processor but maybe the motherboard it sits on is a $50 piece of junk...just to make a bigger profit.
Another point is when you purchase a "PC package" similar to Dells, E-machine or HP, they come pre-loaded with software and in a lot of cases half of the stuff they load is crap. In addition they don't usually give you a copy of the operating system they have prelaoded. Rather they give you a set of "restore disks" that has an image of the system configuration on it. So when you have a problem, rather than booting to your CD and going to the repair console (Windows XP for example) you have to restore from an image which wipes out your system returning it to the straight from the factory state.
Sometimes bui.ding your own PC can get expensive but at least you know what you put into it so you know what to expect to get out of it performance wise.