You're generally saving yourself trouble in the long run by building it yourself. As other have said, buying a pre-built system means you're going to have to worry about bloatware, firmware issues, and dealing with support if something goes wrong.
While it's true that you can find gaming systems for cheaper than you can build something yourself, it's almost impossible to beat the value of building it yourself. You can pick which components to spend big on, and which to scale back on. Pre-built systems will often have odd scaling issues between different parts.
For example, moving from a "medium" system to a "high-end" system may involve upgrading the video card and the CPU for $500. While it can be true that adding those two components individually does indeed add up to $500, you may get 90% of the performance increase from the video card. By building yourself, you can find the price/performance/features sweet spot for each individual component.
Good luck with your build!
If we could sell our experiences for what they cost us, we would all be millionaires. -- Abigail Van Buren