On the other hand, if something DOES go wrong there is a single company responsible, which you can call and demand a resolution from. If you put together your own components then the video card manufacturer will blame the motherboard, the motherboard manufacturer will blame the memory, and the memory manufacturer will blame the power supply -- it will be a LOT harder to get anyone to admit fault and actually resolve the problem, and randomly replacing parts yourself is a whole lot more frustrating and blows away any potential savings there may have been. (which in unlikely in this day and age in the first place, since pre-built machines tend to be cheaper than buying your own components, especially after you factor in a new windows license as well)
In the end, "dealing with support" is a lot less frustrating than dealing with NO support.
Pre-built machines from large companies are presumably designed and tested before mass-marketed, and there's less chance of random incompatibility interactions than if you put together a handful of random components yourself.
The main advantage of building your own is that you can pick and choose your individual components, presumably without making as many compromises -- but it WILL increase the chances of interoperability problems, and it likely adversely affects the total price as well. In the 90's it was a lot cheaper to built your own -- that hasn't been the case for a long time now.