Building your own rig is actually not too difficult nor complicated... though you'll still want some help the first time (or first few times even). The parts can be sensitive to static shocks and fairly fragile, not to mention some components can be quite annoying to install (processor cooling seems to be an issue); so yeah, experienced help is highly recommended.
But is building your own rig required to get a decent one? These days, not really; especially since quite a few specialist stores offer some pre-built rigs from high-end parts. However, if you want to make a really good rig? Yeah, you pretty much have to assemble it yourself. If you just want decent, many off-the-shelf PCs will do the job just fine.
The other benefits to building your own rig might be surprising. It's a bit cheaper to buy the individual parts yourself and assemble them, at least if you want to see a comparable performance out of an off-the-shelf PC; though not as pronounced as it used to be. The next benefit is higher quality parts. With the exceptions of processors and video cards, most generic PCs will use generic parts; going out of your way for those good parts (which aren't much more expensive) will net you better cooling, more and faster RAM, an SSD in addition to your general purpose HDD, and so on. Then there's the customization options, because it's just fun to have an LED-lit case (which, again, doesn't cost much extra); performance cases can be a fair bit more pricey than generic ones, but often look much better and have better airflow/cooling. And this is all without even touching the fancy stuff like RAID, TRIM, SLI, and over-clocking.
You don't have to build your own rig unless you're looking for a high-performance PC. But then again, why not give it a try (assuming you can find some help)? You'll learn quite a bit in doing so, giving you a better grasp of how to upgrade your PC when the time comes and how to build another better-than-normal rig (again, for a surprisingly reasonable cost) when it comes time to replace your last one.
It's a bit hard to go away from self-built rigs after you've made one yourself, simply because of how much better they can be; especially when there really isn't an additional cost associated with them. It's worth doing for all types of rigs (or at least it seems that way), from performance to budget; you'll almost always get more bang for your buck, and more control over everything.
