I would also highly recommend building it on your own. I took me maybe 2hrs to build my first computer and that was before I joined the forums so my knowlegde was not as broad then, though I'm still just above the n00b level. You get major statasfaction, more choice in components, and extra features like lights and what not, it's cheaper. And you can only blame yourself if you scew it up.
Newegg is definately the way to go. But check price grabber first to make sure you get the best deal.