parts most definitely cost less when bought individually at a large outlet like newegg.com. walking into your local strip-mall or best buy, you're definitely going to pay more.
building your own is way cheaper if you're building a high-end system with specific needs - you're saving the boutique builder's mark-up. if you just want an e-mail/web/word-processing machine, it's dicier to justify financially - chances are Dell can do a low-end machine for the same price as you can.
i build my machine to make music (or with that intention, anways) so i wanted specific kind of disks, high-speed memory, an overclocking-friendly motherboard, a fanless but fast video card, quiet case fans, extra firewire ports, no network card, yadda yadda. searched online, no one was building this for less than $2600 and often way more. parts, all told, were less than $1400.