SS wheel building is pretty easy, if you go slow and don't mind having to fix mistakes over and over. the hardest thing for a newb is probably going to be figuring out what you want. if you have to build, go to a lbs and get some real advice. they'll also be a lot nicer about helping you out if you buy through them instead of just bringing them parts you got online.

everyone loves velocity rims. iro has them cheap for a while.

the biggest issue with building is that you'll spend more money to build a wheelset that's comparable to something you could just buy pre-built, but you'll learn a whole lot while you're doing it. the most cost effective way may be to buy a pre-built, then take it apart, and put it back together, but that's probably a bad idea.