Building it is cheaper if you know the sites to buy from, however, there are things you need to take into consideration.
Software first of all, fantastic if you build your PC without any issues and it starts... but unless you want to run on open source software you'll have to factor that into your costs where as pre-builds tend to come with pre-loaded software at a fraction of the cost as the people who build the PC's have better deals.
Get your hardware right, it's not just a case of wacking a bunch of things together and away you go. You need to know your PC before you buy it and build it and make sure that all the parts work together... for instance, if a certain Asus board does not like a certain ATI AMD graphics card and the mix creates constant blue screens (as has happened to a lot of people) you'll find yourself wishing you let an expert do it for you.
Keep it tidy, when you build a PC you need to make sure for future enhancements, cleaning, general air flow that you do the basics to keep the inside tidy. Custom builds with messy insides can create problems.
Know your testing, if things go wrong you will need to know how to test it cause you cant send it all back if one piece of hardware you've bought is faulty. Things like how to test if a CPU is starting, how to test RAM, how to spark up a PSU manually. etc etc.