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You won't save money building your own PC. What you may gain, if you do your homework, is better quality.
Too much is made of processor clock frequency. Unless you happen to be doing one of very few applications, it is difficult to find a processor that is too slow - look for the sweet spot in the price/performance curve.
Packaged systems often include mediocre peripherals. It didn't cost me any more to pick a DVD-ROM that does an excellent job of ripping DVDs and audio CDs, but many drives do a poor job at those tasks. A hard disk with a high transfer rate will make your system seem faster - you spend much more time waiting for the disk than waiting for the processor. Graphics cards can have similar effects on apparent performance. Packaged systems are often shy on RAM, as well. There are few programs that won't run because the processor isn't fast enough, they just take longer. But many will fail if you don't have enough RAM. Put in as much as the motherboard will support.
But the biggest benefit is that you can pick components that are well supported. Check the news groups and other sources, and learn what works for others. For many years, I've been buying hardware that's well supported in Linux. One unexpected benefit is that Windows also works better; well documented, well supported hardware works better for all operating systems.