Yes, building a rig can be worth it. You have a couple huge advantages over the big guys: a) it's cheaper b) you can use quality parts for every component. As to advantage b, most of the big guys use top of the line components for the big stuff (graphics card, processor, etc.) but use cheap fans, cases, and power supply units.
That said, anyone who has built a few computers has had problems at least once. If that motherboard you ordered smokes during the burn-in, it's you that has to ship the part back and wait for the replacement.







