Adding to this list:
Hardware: www.mwave.com (Multiwave Direct). Their prices are frequently comparable to NewEgg and they also carry a high rating with www.resellerratings.com
I've ordered from them for about 4 years now and get the stuff fast with low shipping costs and no problems. I've been also ordering from newegg.com for about 6 months and have had great experiences there as well.
Memory: www.crucial.com Although I've been going with Mushkin for years.
My thought is that your desire to build vs. buy should be heavily weighted by the level of computer you want, followed by the customization of the components as the second factor, with software being a 3rd factor to consider.
With retail prices of components being what they are and the computer makers getting slim profit margins on the low-end machines, and especially if you're planning to buy a new operating system and/or MS Office Suite, you're often better off buying, since you'll be cutting quality corners on the components just to keep your build cost down.
Going for a high-end system, you can build a better system cheaper than you can buy.