WWW,
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If you want to learn about PCs in infuriating detail - build your own. There really is no substitute for the learning experience, both researching and building (I learnt about compatibility from that!)
If you want to get the absolute best of breed components - build it yourself.
If you have particular requirements (super fast, super small, super quiet etc.) - build it yourself.
But if you just want to use a computer as a general-purpose PC, you are probably better off buying a complete system, as the bulk manufacturers can source hardware and software much more cheaply than individuals and can give you (IMHO) more bang per buck than buying your own bits.
Now if you are going Linux, and don't have to pay for M$, it gets more interesting!
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SD