I built our last one. It's incredibly easy and quite satisfying if, like me, you have an inbuilt need to construct things. It cost something like £300 (motherboard, CPU and an OEM copy of Windows from EBay accounted for about 75% of that) and I assembled it in a morning with no previous experience.
There's a good forum here where you can find some useful information and also get constructive advice on what you're proposing to build (well worth doing, it can save you a lot of money):http://forum.buildyourown.org.uk/
The main thing to be careful of is that whatever component you're contemplating, you can always get something just that little bit better/faster for "only a few pounds more". Decide what you want/need, set yourself a budget and stick to it.