Without a doubt you should build your own. Make sure to do plenty of research, ask questions, and if you can get someone who has done it before to assist. Don't let them do it for you, but have them available if you need to ask questions. A couple of years ago I found my PIII 500 MHz laptop wasn't playing games as well as it had been. I looked into buying one, but opted to build so I could gain some knowledge. I'm far from a pro, but now I have about seven systems under my belt (for family and friends) and I can hold my own, if not lead a conversation in hardware with most. You'll learn from mistakes and there will be times when it's frustrating. In the end you'll have a system that can grow over time (see my specs below 8)) The last thing I'm concerned with anymore is if my system meets the minimum requirements for that game I'm dying to play.
http://www6.tomshardware.com/howto/20020904/no longer cutting edge, but this is where I started. Good luck and we're here if you need us ;)
P.S. Just a warning though...If you buy a system you are done. If you build one you'll find yourself constantly tweaking and upgrading, which leads to an expensive hobby. If you don't believe me you can ask my wife.