I haven't actually gotten a custom frame, but I've bought frames, bought all the parts, and then built it all up myself. Most of the pieces came from online or ebay, but some things were just bought at local bike shops - chains, cables, things like that.

I never priced it out how much it would have been if I'd gone to a bike shop, but I'm assuming a lot more expensive and then I wouldn't have had as much "fun"