This is a common question, and one to which there is no right answer.
First, not everyone is cut out to build their own computer, some people really should just buy one. But that doesn't mean Dell/HP/Etc. are your only choices. Companies like iBuyPower can build you a machine for very close to NewEgg prices, and you get a good level of control over the parts that go into it.
Second, it is much easier to build a computer if you already have one or more working computers. It lets you get online, download drivers, etc. It also might give you spare parts to test with if needed. Nothing is more annoying than putting together a machine on a Saturday evening only to boot it up and something is wrong, but you don't know what because you only have 1 of everything.
Once you get into building your own computer, it gets a lot easier, however there is a learning curve, to be sure. Something to be said to let someone else have that headache and just buy a computer. Also something to be said for really knowing how your computer is put together and works.
Have fun either way!