Most Alienware computers are not gaming rigs. Or at least, they are so poorly optimized for the role that it would be shameful to call them such.
A gaming rig is a computer defined by its ability to play videogames well. For that, the single most important component is the graphics card or GPU, as most of the work done by a videogame is through the graphics APIs. It also needs a processor powerful enough to feed the graphics card. For modern games (since the late 00's), the processor doesn't need high single-threaded performance (because again, the work is done on the GPU, just needs to feed the GPU), but it is preferable to have more usable threads for some games (like Planetside 2) that track lots of physics.
Alienware computers typically are defined by having very high price tags (more on this later), powerful processors (typically top end i5's and i7's), but relatively weak graphics cards. Because of this, they typically play games at *lower* performance that their components might suggest (and certainly their price tags would). The reason for this bizarre design might have something to do with kickbacks from Intel (at least was true in the past), but also something akin to the MHz Myth for gaming and processor power, which allows Dell to sell PCs while still having a pretty fat profit margin.
When you buy an Alienware, you are paying close to retail (or usually a little more than retail) for the parts, plus some amount for labor, plus a pretty large (40-50%) profit margin on top of that.
Because of those things, you can oftentimes build a BETTER gaming rig for less than *half* the cost of an Alienware if you assemble yourself.
A good first build would have something like a low range i5, an FX-6300, or an FX-8350 combined with the most powerful graphics card you can afford. Right now the market is pretty much dominated by the GTX 960, 970, and 980 because of their amazing power, power/price point and their low power draw (about half the power draw of ATI/AMD's offerings). You can fit 2x GTX 960s plus an FX-6300 and the rest of the computer on a single 500W PSU, which is pretty remarkable.