How much experience and knowledge do you have in this department?
Swapping out old parts for new ones, or never opened the case?
I've built three systems for friends. No matter how you cut it, you will always end up at least a little bit over the store price for a run of the mill computer. IOW -- if it's just something for a casual user for e-mail, solitaire and papers save yourself a week and get something from Bestbuy, circuit city, etc.
However, if you want quality, something that will be upgradeable for the next four or five years, building it yourself is a pretty good route.
Re: components. I've been out of things for about four months now, but AFAIK there is still no reason whatsoever to go for an intel processor. AMD's wares have them blown out of the water in terms of performance and price. Get a decent heatsink and fan (not the $3 cheapies) and you'll be good to go.
Vendors, sources: I've had extensive dealings with tigerdirect(.com) and Newegg (.com). In short, do not deal with tiger.
Newegg was great to me.
Pricewatch.com is probably the best source to compare bits and pieces for price, if you need a few widgets to complete things it's the place to go. However, there's little sense in running yourself ragged trying to save $2 on every piece only to eat it in shipping....find someone with most parts in stock, get the lion's share from them.
The crew at
http://anandtech.com is great for current news, new stuff on the market, reviews, and general tech support.
These are just my random thoughts on the subject. Good luck.