Short answer:
I build my own. My recomendation will always be (unless some revolutionary event changes things) to build your own.
Why:
From a performance standpoint, it's easy to build a better PC than the major desktop sellers (Dell, Sony, Compaq, ect.) produce.
From a price standpoint, major sellers are sometimes hard to beat. Most major companies make their own motherboards and use the cheapest stuff on the market to build their computers. The ability to buy in bulk helps. Some companies use better parts, getting better performance and stability. However, this shows up in the price(Dell). Upgrading major brand PCs can be a real headache. Because they use every method available to cut cost, they often fail to support hardware not used in the initial setup.
Another trick is vague specifications: "AMD 1 Ghz processor with 256 Mb Ram". What they don't tell you is they give you PC100 memory and a Duron 1 Ghz. Realize some companies are more specific, but most don't go through the effort of telling about the undesirable parts. This above example is in fact a rather old one. The point is, you will normally get the absolute minimum of what the specifications say.
I was just begining to teach my cousin to build PCs. My philosophy is that people will never fully take advice on computers until they find out for themselves what works, doesn't, doesn't work well, or works very well. So I let him choose the parts.
He managed to put together a system:
K6-2+ 450 Mhz
Gigabyte board
128 Mb PC133 memory
AIW 128 Pro
SoundBlaster sound card
Maxtor 20 Gb harddisk
ect.
(all objects in <> were 'hidden' from the buyer)
That stomped his family's Compaq:
Athlon 700 Mhz
<compaq proprietary motherboard>
256Mb <PC100> memory
<Intel graphic>
40 Gb Harddisk
<ESS Solo 1> (not bad cards)
He can boot his and reboot it before theirs will boot.
Granted computer maintenence played a small role and this is an extreme example, but a true one nonetheless.
To sum things up quality parts are more valuable to you than sheer Mhz ratings. Take a look at Alienware or Falcon Northwest to figure out which parts too look for. You can get excellent computers from either of these, but you can build the exact same model yourself for quite a bit less money.
Pain is the realization of your own weakness.