Reasons mine:

1) Quality.

When you build your own, you know you're getting good parts. Sure, Dell will give you that Intel processor, but what kind of cheapo RAM are they putting in your box? What about the power supply? How about the case? A computer part is more than the specs on its box.

2) Price.

Every time I've checked the prices on pre-built systems, they've been comparable to the costs of building a computer from scratch. However, once you take the quality issue into account, you get a lot more value for your money when you build a computer yourself. If you find a system builder that uses the same level of components that you'd buy for yourself, their prices will likely be higher than the cost of DIY.

3) Repairs/warranty.

If (read: when) your Dell system goes on the fritz, you'll probably have to return your whole system. Have fun packing and shipping the tower. When you build the box yourself and you find that you have a bad component, the only thing you ship back is that component. If it's not the processor or motherboard, chances are you can even continue to use your computer while you wait for the repair.

4) Simplicity.

It's very, very easy to build a computer these days. Everything only fits in one slot, and modern operating systems are incredibly easy to install (literally: put in a DVD, and push enter five or six times). Absolute worst case scenario has you calling over a geek friend to help you through a problem. No geek friends? Take your box to the local computer store, pay them fifty bucks, and they'll put it together in front of you in five or six minutes.

Conclusion: Build it! We'll help you if you manage to get stuck.