I just bought a frame and built it up (my 3rd or 4th frame I've done now). The positives: you'll have loads of fun, and possibly get the components you'd really want; the negatives: it usually is as costly or more costly than buying that bike with the specs you wanted in the first place.
Obviously much depends on how you want to spec it (e.g. Tiagra or Dura-Ace? Deore or XTR?) or which components you have already. Cost is so variable (e.g. I've seen flat bar mtb Deore shifters for 9-speed on craigslist for $20, cheapest STI 9-speed I've seen? $70. We're talking over 300% cost difference here, so I think you can see it's difficult!). Ebay and Craigslist could be your best friends here. Assuming you have absolutely no components, I'm guessing you'll have to spend at least $500 to get reasonable (very subjective here too) components, and that's if you are incredibly lucky and buy many things used. Some people may think that figure is overblown, some will think I'm being way too optimistic.
I've outlined a list of tools below -it should include everything you'd need (I'm sure I've forgotten something though). A word of warning: you can seriously damage you bike (e.g. cross thread the bb) so if you're not mechanically inclined, I don't recommend you do it. Additionally, as you read the not insubstantial tool list below, you might guess some of the tools are not going to be cheap, and it could be better to just pay your LBS to do the work -particularly if you're never going to be building a bike again or anticipate doing one every 20 years or so (that's not me, by the way, which explains why I've invested in so many tools). On the positive side, mechanical aptitude will get you a long, long way, as well as a good dollop of care, common sense and caution. And of course, there's nothing like the satisfaction you get when you ride that bike you built yourself, let alone knowing 100% how you did the job rather than some of the bike "mechanics" in some of the stores. It's also good to know that if you need some work done on your bike, so long as you have the time, you can do it immediately rather than being dependent on someone elses schedule. Obviously, a compromise could be to buy a limited number of tools, do some work yourself and then get your LBS to do the rest.
Tools (assuming you do *everything* yourself):
Headset press (you can use a hammer and a block of wood, or make your own with a large bolt and many different kinds of washers, which is what I've done, and had perfect results everytime).
Headset remover (you can use a plastic pipe and a nut and bolt for this -plus you only really need this when you have to remove a headset).
Race setter (if you have a Orbit headset, they have races you can put on effortlessly, otherwise a sub would be a pipe of the correct diameter with protecting washers and judicious use of a hammer).
Starnut setter (assuming threadless headset -but you can use a hammer and screwdriver -for ease of use, I use a starnut setter).
Steerer tube cutter (you can buy an expensive "bicycle specific" saw guide, or alternatively use a pipe cutter)
Crankarm remover (can't think of a substitute here, you just need one -at least to get pedals off, so maybe strictly you don't need one to build a bike!)
BB installer/remover tool -(again, don't think there are any subs on this one)
Cassette whip tool (can use an old chain for this, judiciously wrapped with cloth to save your hands -for the expense and to save my hands, I have a whip tool).
Cassette remover/installer tool (no subs!)
good quality torque wrench (now you don't want to strip the threads in your bb, do ya?)
good quality grease/lubes
anti-seize or similar for steel to alu interfaces
chain splitter (if your chain is not SRAM or similar with the removable link)
cable cutters (can be bought from a hardware store)
wrench (for bb and cassette tools)
screwdriver (for adjusting gears)
pliers (sometimes handy for pulling cable)
Really nice to have:
Cable ends/cable donuts/cable nipples
Bike repair book (though you can get info online including torque settings)
I used a different touring frame but it was the same build process. I was planing on just moving over stuff from my MTB, but in the end I went with new stuff, and the cost at the lbs was pretty close to 5-600 bucks. The big advantage is I have two bikes, the disadvantage is that after taking the tour I came up with a 100% changed list of components, which I am implementing on a new frame. If I had gone with the parts swap I would be less in the hole by the time bike 2 is on the road. Don't be lured into buying high end components, unless you are really stepping up into the bambproof jewelery range like PAUL, or Phil, or DT. The upper ends of Shimano are not normaly spec-ed on a lot of the better touring bikes. Sakkit and Rive, for instance, spec LX or worse for many parts, they are more rugged and fully functional, maybe.
Appart from normal minor fititing issues, the first bike I built is a really great bike, I just figured that if the tour went well I would over-react, and make a "perfect bike"
If you buy everything new, here's an estimate on frame and components using a list I created recently (hopefully I did not forget any parts):
approximate, but close prices (most prices from aebike.com)
1. Surly LHT $420
2. Crank Sugino XD 300 (steel chain rings for durability, 46/36/26) $45
3. Bottombracket Shimano sealed un73 $31
5. front derailleur deore M532 $24
6. rear derailleur deore $36 or LX $50
7. plateform, sealed pedals Wellgo $55 ($25 Nashbar brand)
8. Headset cane creek jump/hit $42
9. handlebar FUNN 50mm rise, 710mm wide $28
10. barends $15
11. chain SRAM powerlink $17
12. cassettee SRAM 11-32 $29
13. break levers deore LX $32
14. Cane Creek cantilever brakes (2 x $27) $54
15. tires, two schwalbe marathon plus 26x1.75 $70 (Nashbar has Continental Top Touring for $15)
16. two tubes 5+5 = $10
17. Adjustable stem Zoom $31; or fixed Kalloy $18
18. Shimano ultegra bar-end shifters 8 speed $48
19. Paul's thumbies for bar-end shifters to make them thumb shifters $55
20. seatpost kalloy $19
21. saddle, brooks b67 $65
22. fenders SKS $40 (SKS communter fenders $20 at nashbar)
23. mirror $13
24. Surly front and rear racks, $91 each, total $182
25. three water bottle cages $5 each, $15
26. front and rear wheels, sun ryhno lite 36 hole rims, shimano XT hubs, DT/wheelsmith spokes, handbuilt $300 to $350
Total using most expensive parts, total price $1,727, plus ship $50ish, = $1777
Total price can obviously be lowered (or raised) by selecting less expensive components here and there (e.g., Surly racks are expensive, and cheaper Jandd or other make could be used).
A list of tools could also be made as was done above.
For touring tools, I recommend these three basic tools which will cover almost all needs for repairs while on the road:
1. Topeak's Alien 2 multitool $30
2. Bahco's 8 inch (model 9031) adjustable wrench (it has 38mm wide jaw, big enough to lock on old style bottom brackets, but is narrow for tight spots-- difficult to find an 8 inch adjustable wrench with jaws that open this wide) $18
3. multi-tool pliers such as $10 (!!!!) Woodstock International G7118 Smith & WessonŽ 44 Mag Tool -- comes with needle nose pliers, wire cutters, scissors, crimper, bottle opener, can opener, 1/8", 3/16", 1/4" straight & Phillips type screwdrivers, diamond file, awl, lanyard, regular blade, serrated blade and criss-cross saw.
I can vouch for the quality having bought two of these Woodstock pliers. At $10 it is a very good price and it should last a long time, is small and packs well in wedge under seat. (search amazon.com for woodstock g7118)
A built up LHT just sold on ebay for over $2100, used, and in need of a few small repairs, parts and a saddle+seatpost. Completely built as new, as speced, would have cost only $2200 or so (--I checked--), including a professionally-built premium set of touring wheels (Mavic rims, Phil Wood rear hub, Schmidt SON front hub), all with a little of web price comparing and careful shopping. So go figure, from a single seller, you might even wrangle a better deal ordering all the parts from one shop or buying clean used stuff. Of course, using very good but perhaps not great components, you could have an excellent bike for even less, and probably a lot less.
fyi: I live near Harris Cyclery -home of Sheldon Brown. In the window is a fully built up 54cm(?) LHT for $1100 (as I recall) with brand new components. It was reasonably specced and included everything you'd need on a touring bike.
Point is, for that price it's getting perilously close to just easier buying something like that rather than building it yourself. Builds are always going to be fairly expensive, though it's very easy to knock down the price when you have some of the parts you need in that spare part drawer.
I've just built up a Dawes Sardar with Avid road discs. Costs (including shipping) were:
$160 -frame (includes shipping from the UK, I think I got a real bargain there from ebay)
$55 -a rear Sun cR-18 36h rim with spokes
$25 -Deore rear disc hub
$25 -handlebar tape and cables
$40 -Bor Yueh racks
$140 -pair of Avid road disc brakes (ebay)
But I was fortunate -expensive items such as shifters, drivechain, front wheel and tyres I already had. Conservatively, I'm guessing if I had to buy those items (assuming some used), it would have been another $350-$500. But I'm not complaining, I now have a touring bike (which I believe is more than comparable with an LHT) with disc brakes for about $520 on the road! And I have to admit, if I'd used some spare cantis that I already had in my spare parts drawer, I could have saved another $140 -but I was very indulgent on the disc brakes as I've had such good luck with the Avid mtb disc brakes -I thought I wanted to give them a try.
Well said Nigevy, with a good LBS it is probably cheaper, and you get everything you want anyway. My Urbanite was about 1K US from the LBS with Brooks and bar ends, and LX, and schwalbe etc..., I supplied the brakes. I could have bought a Surly frame in the US for less than the Urbanite cost me in Canada, except Surly was totaly sold out. I was going to buy a Surly when I got back, but the Urbanite is a beautiful riding frame, and I decided the only thing that I really needed to change was to build my own frame for sizing. About 150 total for all frame parts home built (still a dream).