Building up a bike is at least as much fun as riding it, maybe more! Building it up yourself makes it your bike in a way that store-bought never will.
Plus, you know where everything is and how it got there, because you put it there.
And, since building up the bike presupposes you already have the tools, there's no such thing as the dreaded "I'm screwed, the bike shop is closed" syndrome.
Currently: NYC Bikes (gasp!) fix frame, assorted Campy/lightweight components. The components, except for the fork, headset and seatpost (which are new), are on their third frame since I got them, and the crank, BB, hubs, etc were used when I got them, so at least four bikes have seen these parts.
There's no way I could buy this particular setup in any shop (discontinued hubs (NR) and cranks (1980's Miche Primato w/ 144mm chainring size), Omega Strada XL rims), and more importantly, I trust my mechanical ability, and am not willing to find out the hard way that the mechanic at the LBS prefers to drink/smoke his lunch instead of a mere sandwich.