And I could easily see some manufacturers not honoring warranties for items purchased from eBay.
This would be my main question.
I don't really know how manufacturers handle that process. If they do honor warranties for parts purchased through eBay, then I personally wouldn't have a problem with it. It's a bit of a hassle going through an RMA, but it's not the end of the world if saving a few bucks is that important to you.
Now keep in mind, if you have to RMA several of the parts you buy, the shipping alone could eat into all that money you saved, not to mention the lost time, unless the company provides you with a shipping label.
I've bought a few computer parts through the forums here and haven't had any problems with them, but of course that was used stuff that I was getting fairly cheaply.
tl;dr:
I've never tried to put a build together purely through eBay and I don't think I would. I don't think the minor savings outweigh the peace of mind and ease of using a standard retailer or e-tailer.