It's worth it, just probably at that low of a price because of the need to buy an OS with it.
The reason why it's good to build your own is not only because of the money saved, which isn't much at the lower price ranges, but because of a number of other factors.
First, you get to pick out everything. That means you get exactly what you need out of the build. You don't waste money on having to buy a more expensive configuration just to get a faster CPU or more storage space.
Second, you make sure you get the highest quality parts. Prebuilt vendors cut corners where ever they can. If they don't have to advertise the part (the CPU, GPU), then it'll be the cheapest, lowest quality part they can find. You'll get slow RAM, cheap motherboards, tiny and low qualtiy PSUs, slow HDDs and flimsy cases with poor cooling. If you build it yourself, you're ensuring you get quality parts.
Third, you get to know everything about the computer. You know exactly what isn't working properly and how to tweak it to get the most out of it. You know what the build can handle. You know exactly what you can use to upgrade it.
Finally, there's the satisfaction that you built it yourself. It's not something you just bought.
As for what you can get with $400:
CPU/Mobo:
X4 635 and Asus M4A88T-M $173
RAM:
GeIL 2x2 GB 1333 mhz CAS Latency 9 $83
Case/HDD:
HEC 6T Series 6T10BB and Seagate 7200.12 500 GB $70
Optical/PSU:
OCZ ModXStream Pro 500W and cheap SATA DVD burner $49 after rebate
Total: $375. You could even save $10 by dropping the CPU to an X3 440.