I don't only really really enjoy building, but, i like the fact that i know exactly what's in my box, it's also something really really useful to learn how to do. Overall, it makes me feel more comfortable with my system.
Plus, goes without saying that building gives you a chance to make what you NEED not what you have to have. For example, if you want to just browse the net, send emails, word process, you don't need a phat GPU...You can save that money for a nice CPU which'll help you get on with what you like better. That's the main advantage in my opinion...And yes it's cheaper.
The Dell systems are poor. They come with a bit of poor everything. Onboard graphics, 256RAM, Celeron CPU's. Along with a million crap programs on (does that irritate everyone else too, all the stupid software with them!?) No wonder they're cheap; they're awful!