Building is a no-brainer decision for me, but thats largely because I know what I'm doing and used to design very high volume PC motherboards and ASIC chips years ago. You learn the ins and outs of proper grounding, cabling, and figuring out what broke pretty well.
I think for most, buying a high quality rig from a reputable manufacturer is the way to go. Its the problem of what do you do if something goes wrong. I heard that Alienware and Falcon built great gaming rigs. Depending on what you want and what you know, I also believe you could put together a "better" and cheaper rig yourself.
I'm not so much into gaming, but rather Music creation and recording. So I'm putting together a silent PC that should be able to run lots of software instruments, samplers, and so on. My graphics needs are pretty modest, so I stay away from the cost and cooling issues with the high-end graphics accelerators.
I know all about overclocking, but also knowing about design margin and reliability I generally avoid it. From my POV, I don't want to worry about a crash due to marginalized hardware while I'm working. I have made it happen, and know it can happen. Stability and reliability are more important to me.
Someone earlier mentioned buying a good-quality power supply, and I couldn't agree more. There is a lot of trash at the low end of the PSU market, and I'm a believer that for the most part you get what you pay for. I don't tend to need a huge number of watts or vacuum cleaner cooling capacity, but I do research what is out there and try to find out what I can about failure rates.