Budget OEM systems are hard to beat pricewise when trying to build a system yourself (assuming same specs). That said, you'll usually end up with better quality parts overall when building it yourself (especially motherboard and PSU). OEM are notorious for using cheap PSU's. The motherboards are often built by the likes of ASUS or Intel, but since the BIOS is specific to that motherboard (which isn't sold in retail), the BIOS must come from the OEM. OEM's have very limited settings in the BIOS, so if the time comes when you want to squeeze a bit more performance out of it to stave off upgrading, you'll be out of luck, no overclocking.
Things are much different on the high end. Most boutique systems builders (Falcon Northwest, Alienware, Voodoo) charge a premium on their systems. Most enthusiasts scoff at the amount they cost, knowing that they could build nearly the same system for in some cases less than half the cost of the boutique system.
There is another reason OEM's often are able to sell their budget systems for so little. They are given so many dollars per system sold for all the trialware installed on them. Meaning the first thing you have to do is clean all that garbage off of your shiny new computer. Thus the utility ( http://www.pcdecrapifier.com/ ). These subsidies are paid for by the likes of MicroSoft (Office trial), Norton/MacAffee (anti-virus trial), and (add your most hated craplet). Doesn't it seem funny that you should have to pay more by building your own computer to keep this junk off of it.