I've never taken a new bike back to the shop for its free tune-up. Not that I think I'm such a hotshot, it's just that I keep everything lubed and adjusted properly so there is no real need. Also, I'm quite particular about the "feel" of a bike, so for me, even a new bike is not set up quite right until I fine tune it.
I've been wanting to have a go at wheelbuilding but somehow have never acquired a trueing* stand which I'm thinking is necessary (duh!). For me, the mystery about building wheels would be figuring out the proper spoke length to buy for a given rim/hub combination.
*The spelling of this word has always confused me. Websters Collegiate shows it either way, with or without the "e".