Building is not difficult. I have build several wheels. With and without dynamos. A truing stand is really handy when you do so. As for the dynamo: I have two bikes with Shimano dynamos and one bike with a SON 28. Yes the SON is quieter and has less resistance but it is not that noticeable. The expensive parts can be the spokes when you build yourself. My local bike store charged $1.50 per spoke. At 36 spokes this added up to over $60 with tax just for the spokes. Add the rim and a decent dynamo the price can easily exceed $150 for the whole wheel.
Also check ebay for complete wheels. I found a 700c wheel with a Shimano hub dynamo here in the US some time ago. It was brand new. The seller took it off a new bike. Came with a cheap front light and all the cables. I paid $70 for it. Yes the rim might look a bit different than the other rim but I did not care at that price.