Technically, it doesn't always or even often work out cheaper to self build, as the larger companies can get their parts cheaper by buying in bulk. However with a self build not only can you handpick the exact components you want, you also get that cos warm glow of a job well done and the satisfaction that you built it yourself. (this bit of cause comes after the sweating, fiddling, cursing and praying that it turns on, or crying out unto the Lord, "Argh! If I drop just ONE more screw into this case I'm gonna scream! Why do they make em so damn SMALL!")*
*NB - your experience may of course be nothing like mine. I am particularly fat fingered and cack-handed.