I recently went the custom route and built them myself. As long as you get trustworthy advice on spec's you'll likely never regret your choice. Looking back, the only thing I would have done differently is my choice of rims. Many here have had excellent success with the Kinlin rims, which is what I built mine with (xr-270 front/xr-300 rear), but mine are annoyingly REALLY pulsey while braking. I don't know if this is typical for them since I hadn't heard any reports of it during my research, but when I rebuild these wheels (if I ever do) I'll go with a different brand.
One VERY important thing to think about that hasn't yet been mentioned is that there are far fewer true wheel builders than there are local bike shops. Just because most of the mech's in the shop know how to build wheels, doesn't mean that they'll have the skill/interest/experience to build you a truly solid wheel in the amount of time that they're given at the shop to knock out a wheelset. This is one of the reasons I decided to learn and build my own. With care, lots of time and patience, many people can build a high quality wheelset on par or better than what most local bike shops could do for you. It's even possible that most shop mech's could build a 'perfect' wheelset given enough time, but they're limited by how much time they actually have to spend "detailing" the job. Good wheelsets can be built over days by amateur shmo's, or quickly an consistently by true wheelbuilders. What you don't want is your average joe mech trying to do a pro job on your wheelset in less time than his skills allow. True wheel builders have done hundreds or thousands of wheelsets, could probably build them in their sleep, and can achieve the desired finish product in enough time to make it profitable for them. This, after-all, is why they're still building wheelsets, and their reputations have bolstered, not diminished, their demand.
We've got a couple of local bikes shops here that I use, and I've not been impressed with any of the wheels that I've seen come out of them. Recently, a trusted mechanic tuned up a friend's (recently rebuilt by the company) rear wheel. The wheel had been making pinging noises after just two rides and was out of true already. Before I had a chance to look at it, he dropped by the shop where they happily trued it up for him. Halfway through the very next ride it was doing the same and back out of true. When he brought it to me, the overall spoke tension was WAY down across the board. I literally gave every spoke a 1/4 turn in order to bring up the tension to where it should be. One spoke was completely loose, and many others were close. This wheel had JUST come off of a very experienced mechanic's TS-2 at the shop, and the actual problem hadn't been addressed at all. Moral of the story, not all mech's are wheel builders, even when they claim to be.
Buy custom locally ONLY if you know for sure that the person building your wheel is a true and experienced wheel builder. That's my $.02.
-Jeremy