You didn't say what kind of frame you want to build, and that seems pretty important.

I always found that straight gauge 4130 costs more than a bike tube. Pay attention to butt lengths when you order, it will pay to design the geometry first.

As Doug says, the parts cost of the first frame are dwarfed by the things you have to buy that don't go into the frame, even if that is only hardware. Most people want to have some tooling, and the costs add up quickly for that. Having said that, I would buy low-end bicycle specific tubing because when you mess it up, replacing it isn't going to cost that much. And the expensive stuff is harder to work with, in general. Check out Nova's specials.