Hi Andy, I have done several myself over the years. Its not particularly difficult and installing the software can take as long as doing the build. It may not be any cheaper but you do get the get the components that you want.
I have found that micromart magazine is a good resource for components and advice.
AMD/ATI currently do the best range of video cards.
And my personal preference, go for quiet components. A quiet psu (about 550 watts these days) a passively cooled video card and a decent heatsink for the cpu with a large quiet fan. Antec do decent cases. If you have a case with a noisy fan, you can get replacements here dorothy bradbury
Hope this helps, Nick.