In reply to Lynsety:
Yes, it is worth it - my Sunday best bike is one I built myself, as I couldn't get the spec I wanted off the peg. Got all the parts in sales and cost me somewhere between 1/2 and 2/3 of it's value.
A number of my friends do this - frame from eBay, or wherever, and go from there. There are great deals on wheels online, etc.
Only proviso is you'll need a couple of specific (and expensive) tools for fitting the headset and, possibly, bottom bracket, but you can pay a bike shop to do those bits for you.
Don't cut the steerer tube too short to start with - you can always trim it more later.
Unless you already know your size, then it's worth getting properly measured for the frame size.
Also worth getting the rear mech hanger properly aligned - surprising how off they can be on a brand new frame.
Edit - if you don't already have one, a proper workstand makes it so much easier.
Post edited at 09:45