I built my own, thanks to a bit of luck. Thread on that here-
http://chinertown.com/index.php/topic,206.msg1767.html#msg1767 I originally bought wheels, because I wasn't sure I could build them. Getting free rims gave me the confidence to try it out, and it really is fairly easy if you study all the information beforehand and take your time. It will take a long time to build your first set, but I think it's worth it. I doubt that I saved any money compared to just buying a wheelset, but I think it is worth it to have the knowledge and experience in case I need to repair a wheel or want to build more in the future. And I got exactly what I wanted in hubs, spokes, etc.
Plus, all the ladies swoon when I tell them that I built the bike AND the wheels