It really is not brain surgery to build your own computer, and this is the best way to go IMO. You get more bang for the buck and in the future instead of replacing the entire machine you just upgrade a few components here and there as needed when the latest generation of games demand more power under the hood than what you have.
The hardest part pre-assembly is comparing all the components you need and determining what is right for you; however there are resources that can help you make an educated decision, and there have been solid recommendations in this thread already.
As for the assembly itself, the toughest part of the assembly process is mounting the heat sink to the CPU - fortunately there are many places where you can buy a mb/cpu combo that will do this for you if you are not comfortable doing it yourself. Aside from that, the rest is fairly straightforward.
If you are in the US a good resource to check out is this:
PortaTech.com -. I have done business with them previously, and was satisfied. If you pay extra they can custom build the entire machine for you, but IMO its a waste of money aside from maybe having them mount the chip/heatsink. If you start off looking at just mb/cpu combos they also will give you the option to add other components to the build as well if you are satisfied with some of the options they offer. For serious gaming make sure not to skimp on the wattage for your power supply.. If you are going with a mid to high end graphics card get at LEAST 750 watts - a decent graphics card will be sucking a lot of power, and you do not want to find out that your power supply is below the minimum required by your GPU (If you are not going mid to high end graphics card, at the very least make sure you know the graphics card you intend to get and know what it requires for minimum power supply).
Make sure to do your research first, decide what you want and go from there. There are plenty of video resources if you need them to walk you thorough building the machine, but it really is not hard at all.. and as I said already, once you know how to do this, upgrading is a cinch, a couple years down the line you get a new GPU, a couple years later a new cpu/mb. Technically the computer I am on now is the first computer I ever built - 15+ years ago, there is not one part remaining from that original build, but I have always just replaced one or a few components at a time when an upgrade was needed (mb/cpu/ram upgrades are usually all done simultaneously, but everything else is a piece here a piece there).
