One time I built a computer for a friend (first time building a computer, but my friend had confidence in me, but I didn't

).... After an hour and half of putting pieces together with manuals by oursides, me and my friends (ok ok ok.. I didn't actually build it all by myself, but I took the bossing part pretty well

) started the computer up and it didn't work!... We were pissed because we spent so much effort into putting the parts together. After another hour of endless unplugging and plugging of wires, we figured out that the power supply was defective.. so we changed to an old PS my friend had and it worked....
The point of the story is.. always have the manual by your side and refer to the manual if you run into a problem. If a problem occurs think logically (what might be wrong), the manual often offers trouble shooting and solutions. If you can't figure out the problem go on forums like anandtech and ask ppl, most likely you'll get a satisfying answer from folks in this forum.
AND YES, definitely build you own computer!!
In the process of building a computer, you'll learn so much about computer that you might not know about, and it's a good experience to have. Also, you have wayyyyyyy more control over the parts.