There is a lot to be said for building your own PC. You get exactly the bits you want in it for a start. No crappy pre-installed software that you never wanted. So many PC's come with onboard graphics or sound which make it awkward when you want to upgrade later. Plus, you can effectively get a new PC for less money if you reuse your monitor, CD-ROM drive etc.
If you really get into it, you can transform your dull beige box into something like a work of art. Take a look at these two sites for some inspiration:
http://www.mini-itx.com/
http://www.overclockers.co.uk/
I built my own PC, but the best bit for me was choosing the different components. It does become a never-ending process - I guess you're never quite satisfied. It's a little like maintaining your own car: there's always something to tweak.
How long it will take? Depends on how familiar you are with upgrading computer hardware and whether you encounter any unforeseen problems. It pays to be well organised beforehand. Unpack your various bits and read the instructions. Dig out all the original CD's for software and drivers that you might need. It took me about an afternoon to go from a collection of bits to a running system. It took a few evenings to get all my software and patches installed, files copied across, and drivers updated.
The benefits? You'll know your machine inside out, so when something goes wrong you're in a much better position to sort it out. You get exactly the machine you want. A sense of pride and achievement is an added bonus...have fun!