Try to build as much as you can. You will have fun and can be proud of the job. Plus if you build it yourself, then you know that you can fix it. That said, the bottom bracket and headset can be a bear to tackle if you don't have the specific tools and experience.
I am actually almost done with my first build up too, and enjoyed it. The only thing I have needed the bike shop for was the headset, because it was cheaper to have done than buying the necessary tool. Now I am about to tackle the BB (which is GXP) and will try it myself. Good luck.