If you really want to build, I suggest you read the Tom's Hardware system builder marathon articles - they put a lot of work into determining the best PC you can build for your budget category:
E.g. best $750 PC: http://www.tomshardware.com/reviews/build-your-own-budget-gaming-pc,3780.html
And as per other comments here, you don't save a huge amount of cash by self building - it's more about the enjoyment of the process. Buying used stuff will save you a lot more money (components don't really wear out like they used to), but you'll need to knowledge/research/patience to match the bits correctly.