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.
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!
Never appeal to a man's "better nature." He may not have one. Invoking his self-interest gives you more leverage. -- Lazarus Long