As others have said, there's not a ton of money to be saved building your own wheel. Typically a shop will charge $25 to $50 in labor but you may be quoted lower price on the parts (or not).

Still, I prefer to save that $30 for other stuff (other bike stuff, natch) and have the confidence of knowing that the wheel was built right. And if I do a little shopping around, a lot of times I can find find some good deals on retail. For example, it's hard to beat $40 for the IRO fixed/fixed mountain bike hub.

My LBS wanted to sell me a Surly fixed/free for $70, so that extra versatility at a lower price was obviously super attractive. I ended up splurging on a nice strong rim (but straight gauge spokes--ah well) and built up a wheel for less than what I would have spent for a store-built wheel with a cheaper rim and not-as-nice hub.

Apart from that, it's a good skill to have. All my wheels have held true under normal use and abuse and when one got hit by a car and trashed, I coud just go buy a $30 rim and rebuild the thing rather than spend $60 to have the shop do it.