I have experience with Alienware. I bought two systems through them, a desktop and a laptop, about 6 and 3 years ago, respectively.
There is a premium to be paid for their machines. That comes in the form of someone else putting all the right pieces together, letting it run a few days to make sure everything works, and shipping it in some cool looking cases. If something is wrong you send it back and they don't really give you any trouble.
They're solid machines, well built, and performance is quite good. For someone who wants a machine that "just works" without having to spend days putting pieces together and finding the best deals, it's really not a bad option. I would recommend CyberPowerPC over Alienware these days - they're less expensive for comparable hardware.
Also, unlike what the poster above mentions, Alienware does not load a bunch of crapware onto their systems. They usually have Steam preloaded, an application to control their lighting effects, whatever control software the video card comes with, and very little else. They're quite clean. You can get some extra stuff preloaded (like McAffe, for example) but it's all optional at the time you order the system.
That said: You WILL get more hardware for your money if you build yourself. No doubt about it. These days I just view my computer like I do my car: It runs and does what I want it to do when I turn the key. I don't really need to know, or even care, who made the engine or what material the brake pads are made out of as long as it goes vrooom.