Self build isn't so bad, unless it's from scratch.
A full build is equal pleasure and pain. I often wish it is all over half way through. Though once done I do feel a sense of pride at my úber rig. Though nowadays, with a fully customised system, it's more often than not a simple component change. Seeing as most of the system is still perfectly fine. My next build will simply be an i7, mobo and memory. The gfx, hdds, psu, etc are still perfectly fine.
As to the question. If I could afford a full system up front, I'd probably just buy a complete system from one of the top game system builders.