absolutely choose A.
As Scooper says there is nothing more satisfying then riding a set of wheels that you
built yourself. For economy you can find lots of how to build wheels on the web
here's a good start:
http://sheldonbrown.com/wheelbuild.html
you do need a truing stand, and the spin doctor or minoura stands are a good deal.
If you have a good LBS you can build the wheels, get them round and true and have the
LBS check the tension. Thats what I did for my first few builds.

of course there are always options e and f
e) have LBS build wheels using existing hubs and new rims
f) but old wheels off ebay!

I still would opt for A.

Marty