It's true that companies with good support can make it very easy. Other companies can make it a nightmare.
Personally, I've never had a problem dealing with support when it came to individual components. If it doesn't work on arrival, retailers like Newegg will usually let you RMA it with no questions asked. Some manufacturers have great warranties, as well. Just recently I had a Sapphire graphics card that had a fan go out a year and a half after I bought it. They gave me no grief sending it in for a replacement.
Regardless of whether you pick pre-built or build your own, it's going to be a crapshoot in terms of how good support will be, unless you do a ton of research ahead of time. The nice part of building your own is that you generally have a lot more leeway in terms of what you can do without voiding your warranty. Your motherboard manufacturer isn't going to care that you put Linux on there, but the pre-built companies may take exception to blowing away whatever OS it comes with.