It depends on what kind of system do you have and most importantly what components are needed to be cooled. Building is pretty much the best thing of the two since it gives you more options. Like for example, before I decided to water cool my pc and the components involved are the cpu, north bridge and two 7800GTX. All these can add up to a lot of heat. So I went to Newegg and decided to get a water cooling kit that can cover this components and keep then chilled. So I got Swiftech on my plan but adding up all the cost would make me end up spending over $500! So instead I built me a low end water cooling kit buy getting 2 Aquastar for $100 each and extra rad for $30. So I got my "costum kit" for about $230, very big difference to the $500 kit.
So now I got 2 coolers and in case in fails the other would still be running for "backup". So I got what I needed to cool my pc and for less than the price of other complete kits.
With it I got 35c idle and 45c full load on my cpu (overclocked from 3.2Ghz to 3.840Ghz @ 1.4 volts), 40c idle and 50c full load on my north bridge, 42c idle and 46c full load on my 1st 7800GTX and 45c idle and 48c full load on my second 7800GTX (both cards overclocked from 460 to 490Mhz) and this is on a 30c room temperature by the way.
So Im pretty satisfied for my build and it's results.
But if you don't mind spending good amount of money then you can buy the complete kits for better results.
If I get the money I would buy this.
Pump, reservoir, cpu block, tubes and rad. $259
http://www.frozencpu.com/ex-wat-76.html
North bridge block. $30
http://www.frozencpu.com/ex-blc-268.html
two of this: GPU water block $ 64x2 = $ 128
http://www.frozencpu.com/ex-blc-270.html
Extra rad for the 7800GTX: $97
http://www.frozencpu.com/ex-rad-46.html
This all can up to over $500 and is more effecient than my current cooling but for a price.
So if you're in a budget then a build would be good since you can buy individual components and save money or if you got the guts to spend lots of cash then get kits from Swiftech and other great cooling kit for maximum cooling performance.