as Mike & Familyman point out, building your own system does have inherent benefits. Some things to also consider, aside from the fact that most OEM systems only come with a 1 year warranty (and it costs upwards for $200 more just to get it up to 2 or 3 years on top of that), are that:
Building your own system doesn't take a rocket scientist. If you used to play with Legos or puzzles, then you've already got the required skills.
Building a computer isn't something reserved for the upper echelons of geekdom. You can find all kinds of tutorials on how to assemble a computer on YouTube, but you can't do much better than a forum like this to back you up in troubling situations.
Building a computer basically boils down to this, and this is a gross oversimplification, there's a few other points to keep in mind, but this will give you the info you need to start.
Find parts for a build. TONS of folks here have GREAT ideas on hardware to use, and can tailor the build for your budget as well as long term goals for your machine.
Once the parts are ordered, you unpack them. Added bonus: BUBBLE WRAP!!!!111one
Insert CPU into socket, manuals usually provided explain this in great detail. Insert RAM - takes 2 seconds. Install heatsink in less than 5 minutes.
Open your new computer case, find where the screwholes line up with the motherboard, install the backplate and mount the motherboard on the risers, screw the board down.
Install the video card (if you buy one, using integrated to save money up front isn't a big deal, having a slot to upgrade to later will be nice).
Connect the power supply (or mount it yourself if you buy it seperately) and connect the wires to where they need to go. Modern computers are keyed so that these things only go in one way. If in doubt, refer to the motherboard manual or us.
Install hard drive and CDROM - 5 minutes tops.
Connect SATA cables and power cords, 2 minutes.
Test system by firing it up - if everything turns on, great, put the case cover on and install your OS of choice.
Things you gain by doing your build yourself:
YOU are the support guy. You know exactly what you put into it, you know how to open it, and you won't void a warranty by doing so (for those rare OEM systems that still have that "Warranty void if sticker removed)
Building your own system generally nets a minimum of 1 year warranty on the most basic parts, with more advanced parts carrying 3 years or more (5 years for some hard drives).
The recognition and pride that goes with building your own system.
In my professional career, the systems I've built have outlasted even the best business class computers with 5 year warranties. They buy parts in bulk, with little regard for who the end user is, even the boutique computer makers are guilty of this (Falcon NW, Alienware before Dell, etc)
Above all else, you need to be aware that failures CAN occur, and to think that everything will work flawlessly forever just opens yourself up for disappointment. Sometimes you do get bad parts, it happens. I got a bad stick of RAM for my work PC when I built it last month. No biggie, I ran the tests (freeware online) and returned the module. Got the replacement 3 days later. Easy.
Can be slightly more expensive due to the cost of Windows if you don't plan for it in your budget (Dude! This PC is only $400! Oh crap, forgot Windows at $99!)
ESD. Ground yourself before building / touching anything (very simple, don't let it scare you)
Naysayers (family included) who don't think you have it in you. Building a computer is far easier than doing even housework. I'd say you have a better chance of breaking dishes while washing them in the sink by hand than you do in royally screwing up a new computer build. Just pay attention and ask lots of questions.
I deal with the timid computer shopper types all the time, as I'm sure a few others here do as well. Building a computer isn't just a great idea, it can SAVE you money in the long term! Buying an OEM system up front for $399 may seem like a great idea, but in 2 years when you have to upgrade, you'll spend sometimes up to three times that just to get it up to date or to buy a whole other system outright. Do yourself a favor and build your own now, and save the money for upgrades in the future.