There's nothing like getting exactly the parts you want, though that also comes with the risk of incompatibility. Also, as you upgrade you can potentially save money by reusing parts like the case, PSU, heatsink + fans, drives, cables and possibly even the Windows license.
However, if you're starting fresh and want to make things a little easier, consider that the graphics card is the only major difference between a gaming and non-gaming PC. Buying a decent desktop and adding upgrades (video card, decent PSU, possibly a SSD) will often be cheaper and more reliable than assembling everything from scratch.
If you're not experienced assembling and troubleshooting PCs at all, consider one of the frequent 'HP Envy Phoenix' deals. For the past six months they've been selling very decent gaming rigs for below the cost of components; for instance, a couple weeks ago they were offering a system complete with i7-4790K and GTX 980Ti for ~$970, which is about what you'd pay for those two parts alone. Check Slickdeals or your favorite deal site for more information.