I bought an Aluminium GT Edge frame on
ebay and built it up from scratch. Components are a mixture of whatever I had lying around / could afford (not a lot) but it was the best experience and I now have a totally unique bike which rides like a million dollars and cost in total about £400. If you consider what you can buy off the shelf for that amount of money it makes total sense to self-build if you've got the time, patience and a reasonable aptitude with a spanner!
The other big advantage of doing it this way is that if you start with a reasonable frame, you can hang cheaper secondhand components off it and it will still ride well until you can afford to slowly upgrade all the bits over time. Eventually you'll end up with the bike of your dreams and in the mean time still have plenty of fun with the frankenstein bike you have during the transitional period. My GT Edge came with a full Dura Ace spec in 1994 when it cost around $3000. I hope one day to be able to treat it to some new top end bits but in the mean time it still rides and looks fantastic.