I like building my systems because I know exactly what's inside them. I know the harddrive is a brand I like, exactly what hardware's installed, where to get drivers. I can also control what first goes on my computer rather than sorting though 100s of useless programs I don't need.
Unforunetly, many boards come with everything onboard anymore, so it's harder and harder to tell exactly what you have anymore. I think my KT7A was the last good board that had nothing intergrated. No video, no audio, no NIC...just completely upgradable.