Just the Frame or the Whole Shebang?

[three]

I have decided to spend a pretty chunk of change on a new bike. Actually, my first 'real' road bike ever. Despite the amount that I can afford, I would like to keep it as low as possible and get the best deal I can.

My former encyclopedia of cycling (see cycling for healing post) was obsessed with various websites, "bike swap" meets, and other means of discounted gear. He had some nice bikes (9 in his stable), did all his own maintenance, and knew all the lingo you guys could spout off and lose me on.

Now, having seen what he did and all the money he saved - I am wondering this:

Do I buy the road bike all built up with snazzy components new and shiny? Do I look for a snazzy bike that's maybe a bit used (and will I even have any luck with that since I'd be looking for a Shorty McShort frame)?

Or, do I just buy the frame...sans components...and make use of all those techniques I saw him use & get the components myself? Can I really save money that way...or will all the shipping costs even it out?

I want a nice bike, but in all reality - I should probably be putting the money towards something else...I'm splurging here - so, I'd like to be as fiscally shrewd as possible. My only bike for real cycling is my Surly Cross-Check - and it's not something I feel comfortable using for the duathlons/centuries that I want to be doing in the future.

Thanks in advance for any advice from all of you sage cyclists.