I just completed a build and found it hugely satisfying. It was the first time I've tried it and the only setback I had was a rear gear cable unravelling when I tried to feed it through, which ruined the cable and of course it happened on a Sunday when the LBS was closed!
I don't think I saved any money, probably the reverse, because who can resist paying a little extra for that bit of bike bling you've always promised yourself? And my guess is that bike manufacturers pay 30-40% of retail when buying componentry, whereas you will probably average 20% off if you shop around. I bought quite a lot of good quality second hand stuff on
ebay - the very best components seem to last really well, and I have some ten-year-old parts that work beautifully.
Getting the headset in was a bit nerve-wracking as if you bang it in at the wrong angle it will deform rather than straighten itself out. I spent an awful lot of time winding the BB in and out to make absolutely sure I didn't have any grit in there and wasn't going to damage the threads, which is easily done when using heavy tools.
Everything else is fiddly rather than difficult. Like all these things, the real problems arise when dealing with damaged or seized parts.
Go for it!
Tom