Building is the way to go. Cheaper, and you'll get to put quality brands in your PC versus retailers that'll use the most generic crap out there.
Live in the US? Then you'll want to shop at
http://www.newegg.com .
You may notice that some retailers at pricewatch are cheaper. While newegg may cost $2 more, it is worth it. They are very professional. They'll have your stuff out to you in 2-3 business days in mint condition. They have an excellent RMA service in case you get defective (I haven't).
Here's a couple tips:
With SATA harddrives, you need to install SATA/RAID drivers when windows XP's disc is coming up for the first time. You hit F2 (or F6) the first time the blue screen comes up. Otherwise, windows will not see your harddrive.
After installing windows, you've got to install LAN drivers to use the internet. These will be in your mobo utilities disc.
PCI-Express is not worth it yet. Stick with PCI and AGPX8.
RAM timings are incredibly worthless. The difference between 2-2-2-5 (the best) and 3-4-4-8 (the worst) is 2% in system peformance.:
http://www6.tomshardware.com/motherboard/20040119/index-07.html
Similarly, putting two HDDs in RAID is worthless:
http://www.anandtech.com/storage/showdoc.aspx?i=2101&p=10
If you go intel, get the P4 Northwood 800 FSB with Hyperthreading. Only get a Prescott if you're video editing. The ABIT IC7MAX III mobo is great with these chips. Expecially with overclocking. ABIT makes the best intel mobos.
If you go AMD, get a AMD 64 3500+ Socket 939. The new socket is important because these processors have double the memory controllers that the other ones do. It give them a considerable increase in performance. ASUS makes the best AMD mobos.
Avoid crazy no brand name power supplies. Get something like an Antec 480 Watt Truepower or 550 Watt.
Audigy 2 ZS is a great soundcard.
If you get a brand new video card, the consensus seems to be that Nvidia has the edge, slightly. Especially if you're going to play Doom III. The 6800 GT seems to be the best bang/buck. Tho, I'd wait for prices to drop.
In the older video cards, the 9800 Pro smacks the Nvidia FX series like crazy. Especially with image quality turned up.