I actually find it sorta fun hunting for the right prices. Here in Ontario we only really have 3 decent vendors which are all within 1hr of my house. Which actually make the process of building a lot easier as I have narrowed them down to one reliable and cheap vendor.
www.infonec.com I suppose for you yanks it would be the equivalent of newegg.
Another bonus of building yourself is that you can buy in phases, ie buy the mouse/keyboard/speakers/monitor and retrofit them to your current system while you save more $.
Yes saving $ is of greater significance when the parts you are getting are of shoddy quality. Certainly Alienware provides high quality parts and all. I just feel so much better putting it all together myself. Just like changing the oil, or rotating the tires, no one touches my baby
One last thing
Bonfleck, if you are willing to build I'm certain this group of highly motivated computer enthusiasts can help you.