For me, the advantages of building your own system goes like this:
*If you buy a quality power supply, it means your computer won't likely burn out on you.
*You can choose silent fans that won't bother you. You can choose passive cooling if you want.
*You don't end up with weird advertising logos etc when you re-install windows, no excessive crap programs using up your resources.
*Having a brand name motherboard means you have a better chance at fixing a problem.
*Once you learn to build, you can fix it yourself/change parts yourself. You can sell some of your stuff on eBay and upgrade.
*I also like to carefully choose which DVD-RW I buy to make sure I get a model that doesn't produce too many errors.
*I can choose whatever kind of case, this includes either a case with great ventilation or even a flashy one.
I don't know, those are some ideas I guess.