I recently built my first computer from scratch after getting burned with some Dell junk and realizing that my shop built computer from off the shelf parts was still running well 5 years on because it was built for me with all decent parts in the first place.
I bought most of the stuff from NewEgg but I got burned like a dummy. I didn't realize the video card might have some weird driver issue (the first I experienced, search for Nvidia BSOD windows xp 64 bit). I really should've got an ATI card for my AMD system, but low and behold I can only return this Nvidia card to newegg for an exchange, not a refund. Shoulda realized small print. Now I have this card in a box and refuse to try to get it working after terrible blue screens and numerous tweaks.
Then I got an ATI Radeon 2600 pro from Tiger Direct, which was not availiable from NewEgg at all (they had some other brand only, not ATI) and it runs well, plus it seems to have a more complete return refund policy.
I would say if you have ever swapped out a harddrive or installed a new power supply, maybe try building your own. I got a system that I can't even find at the gamers places under 2g's and I paid about $900 in parts. THe hardest part was installing windoze and getting drivers working. That took over a week lol.