I built two, and am glad I did. There are just too many limitations with the ones you buy pre-built...but they can be cheaper...if you don't need to upgrade them.
For example, you can get an inexpensive dualcore/motherboard combo for $120-$140. Another $30, if you want an optical drive, $70 for a hard drive, $70 for a dual tuner card, $60 if you want a discrete graphics solution but it really isn't necessary. That puts you about $300. If you have a college I.D. you can get Win7 upgrade for $30, or pay $120 for the family three pack (way I went since we had several computers to upgrade anyway.) That works out to $40/computer.
What can, and should, IMHO, be the biggest expense is the case and power supply. You can get a cheap case and integral PS for $60, but I've gone that route and invariably end up buyng a better power supply within a year or two and am left with a cheap case. Instead buy a decent Mediacenter case for $100, and spend another $50 on the PS.
Put it together you've got.
Optical Drive, $30
Dual Tuner, $60
Memory, $90, 4Gb.
Case and PS, $150
Wireless keyboard/mouse, $60
I'm running one system 33% overclocked and the other 50% overclocked (which is equivalent to getting a $80 processor discount.)
Meanwhile, my brother bought a Dell for $350, had to upgrade to a 2nd tuner only to find he was out of PCI-E slots...then the sound card didn't have digital out so he needed to find one that fit in his half height case......he is still sorting it out and already over the budget I spent.
Build advantages: Choose each component to meet your needs. Easier to upgrade. Develop understanding of hardware and software. Generally get more features for the price (firewire, esata, spdif....) Can overclock processor easier (with correct motherboard, basically getting a free upgrade.)
Build disadvantages: Need to figure out which components to buy. Need to deal with hardware and software installation and compatibility. No single warranty. Low end system will cost more.
If you check my other posts you will see where I recently posted questions on issues I was having with both builds. Both issues are resolved now and both computers are running stable, quiet and fast. If it works out like last time, they should run maintenance free for 3-4 years, at which point I'll have to decide whether a major or minor upgrade is necessary. P.S. One of these two is an upgrade and I was able to reclaim the case, power supply and magnetic and optical drives.
Find that Boxee, Hulu and recorded programs on Mediacenter fit our needs quite well...with only most basic cable subscription.