Building your own computer is much better in the long run. The main thing you need to realize is that while buying a cheap dell and slapping a vid card into it will work, you'd be paying more for the next dell just because of the OS. I got win XP oem a few years ago for $80 and it has lasted me over several builds and upgrades. Buying a prebuilt system means buying a new OS if you ever want to change the MB.
My builds usually consist of getting mid range gear of the latest technology that is priced at it's lowest and close enough to top end for my uses, then upgrading at some midpoint later with just a new CPU and vid card.
Thus my current build cost me $600ish, but I got a Nforce 4 ultra board, an AMD 64 3500 and a $60 refurbed 6600 that is OCed to 550/700 and gives me a good 45 fps in every game a play now anyways and a 74 gig raptor. I made sure my MB would support an X2 CPU before I got it and will wait a few years and slap in a better CPU, possibly a 5 Mhz rated FX or whatever is available at a mid range price point then and a mid range refurbed vid card for a cheap but pretty much complete upgrade.
My last build just involved upgrading my XP CPU and adding another RAM chip which brought the 9700 pro using system right on par with the latest full prebuilts for about $100 2 years into the life of the system.
Building your own system might not save a lot of money right off the bat, but it's the OS and other stuff you can reuse that saves money over the long haul plus you have a good enough PSU and non propriatory case that can be used for many years as well. Buying a dell, not only will you pay more, but you'll get a crap PSU, a bad thermal pad, possibly a system built by a chimp, a propriatory OS and case, and poor quality optical drive and a mother board equivalent to a PC Chips blue light special. Not to mention a OS cluttered with garbage. However, there is also a risk with building your own system, you can fry something due to lack of knowledge or if something is bad through no fault of your own, it can be a real pain to track down the cause and RMA it. Building a computer is easy as cake, unless something goes bad, then it can be a real chore with you sweating over the carcass of your open computer case trying to figure out why the damn thing won't post. Five out of six times the build will go perfect the first attempt and you'll have it complete in 15 minutes, it's that sixth time where there is some risk involved.