I initially thought that you could save a ton of money building your own PC, but from what I've been looking at the amount of savings isn't phenomonal. As mentioned above, if you can catch a sale you'll do pretty good in a price comparison to a custom built PC, but I think the real gain is the ability to overclock and have higher quality parts in general.
I'm still new to this stuff, but I've been learning because I plan on building my PC to take to college as opposed to buying one this summer, and I'm looking forward to doing it.
But, if you don't care about all of the extra stuff like overclocking, I'm using a Dell 4700 right now with a 3Ghz P4, 1 Gig RAM, and an X600pro, and I'm able to play anything (Farcry, Half-life 2) at more than acceptable quality and frame rates.