The link looks a good guide.
The main Pros are that you get the p/c that you want and it is very satisfying feeling when you start it up for the first time. There is also usually a small cost saving than buying a p/c from a retailer.
The main Cons are that of course you would not have the shop guarantee (but if you've put the p/c together then I suspect that you would be able to sort out any problems) and it can be frustrating if things go wrong when you are putting it together. But then there are many experts on this forum who are happy to help if you hit a problem.