While it may not work out cheaper or easier than buying pre-built, I can tell you it's immensely satisfying to put all the bits together and have it POST correctly when you first power up! I just finished my first whole build a few weeks ago (Leadtek nForce2 m/board & Athlon2000+).Also saved enough on a secondhand monitor to buy a much better "box".
So ask friends who know, research how and what on the net, and go for it! The best site I found was www.motherboards.org
with excellent tutorials, but others such as tomshardware.com were helpful in deciding what to buy.
Best of luck!