Do it! I'm building up my Salsa El Mariachi right now, and having lots of (impatient) fun with it.

Yep, it's more expensive than buying a stock bike, but when it's all done, I will have a bike that's exactly what I want. I've picked some stuff up that's lightly used, and I'm always watching cycling sites and Ebay for good deals. Make sure that you know exactly what you need in terms of compatibility and jump on the good deals.

It's not that hard to put together either. You might need shop help for frame prep or headset installation- stuff that can sometimes require expensive tools. Hanging the other parts on the frame is pretty straightforward. The worst case is that you need your shop's help to fine-tune the last little bits.

Good luck and have fun!