It can sometimes end up being surprisingly pricey building up a bike - the good thing is that at the end, you have a bike that's made with all comoponents you want, as opposed to a bike you buy and have to swap the stem, handlebars, seat, seatpost, cranks or whatever to something that fits you better... So you usually end up with a bike that has better parts on it than what would come stock. If you go ahead and pay full price for all the parts at a bike shop, they will probably do the labor for free - but that usually is more expensive than just buying a complete bike. If you search around on discount bike websites, ebay, craigslist, etc... you can usually get great deals on new or lightly used parts and will end up paying less to build up a bike with comparable parts...

Just make sure all the parts you get are compatible with the frame you get, so it does take a little bit of knowledge if you're individually collecting the parts - front derailleur clamp sizes have to be specific for the frame, triples require different front & rear derailleurs than doubles, and such like that.