I've built all my own wheels for 10 years now. It is true that you can buy a CHEAP wheel-set for cheap off the Internet. There are great deals out there for Machine built wheels.
But it is WAY cheaper to build your own set of hand-build wheels vs. buying a set of hand-built wheels. Then it becomes not a cost issue but a quality of parts issue and a time issue. You can spend as much time as you like building your wheels until they are perfect. Doing ALL of the little things that add up to make a great set of wheels, like setting your spoke heads, stressing your spokes, checking tension and true and dish.
You end up with a high end set of wheels for just a bit over cheap machine built Internet wheels.
I learned to build wheels from Sheldon Brown and Lenard Zinn. Go to Sheldon's website and print out his instructions in color. Take time to buy your parts as you find good deals.
I've been known to buy a few rims and letting them wait for 6 months to a year until I find a great deal on hubs. Use two spoke calculators to check spoke length.
The trend here in my circle of friends is more and more people are building their own wheels as they see what nice wheels you can have and the money you can save by doing it yourself.
http://sheldonbrown.com/wheelbuild.html
as Sheldon said
"Why build wheels?The wide availability of inexpensive, well-built replacement wheels has reduced the need for wheelbuilding in retail bike shops. Nevertheless, there are still times when custom built (or re-built) wheels are needed, especially in the case of higher-end bikes that have expensive hubs that are too good to throw away.
Learning to build wheels is an important milestone in the education of an apprentice mechanic. A "mechanic" who has not mastered this basic skill cannot be considered to be a fully-qualified, professional, and will always feel inferior to those who can list wheelbuilding among their skills.
Although this article was originally directed to shop mechanics, a knowledge of wheelbuilding can be invaluable to any cyclist who wishes to do his or her own maintenance and repair. Building wheels from scratch is the best way to learn the craft of wheel truing, to get the feel for how a wheel responds to spoke adjustments. It is much easier to learn this with new, un-damaged parts than to start right in trying to repair damaged wheels."