Can't speak from experience about building one, but I understand its not really that difficult if you are meticulous, careful and follow instructions. The basic ingredients are a case, a power supply, a motherboard, the CPU and GPU, the Drives, any other goodies you want to add, cooling systems, fans, lights, coffee maker, microwave, ham radio, etc. Most if not all is plug and play with little or no soldering. The hardest part appears to be installing the OS and getting the whole shebang to boot up.
And yes, there are a number of tutorials. I've been thinking the same as you, why not give it a whirl, should be interesting, you would learn something valuable, and there's the pride thing, plus you could end up with a snarly bit of hardware that's yours, and yours alone.
As for the turtorials that I've found, here's my list:http://arstechnica.com/guide/building/
plus many more in arstechnica, do a searchhttp://peripherals.about.com/library...y/aa051799.htmhttp://www.pcmech.com/byopc/step/1/http://www.networkclue.com/hardware/computer/building/http://www.mysuperpc.com/http://www20.tomshardware.com/howto/20031003/index.htmlhttp://www.madshrimps.be/?action=hwfaqhttp://www.computeruser.com/resources/dictionary/
Well, that should get you going. I've found that a bit of time spent with Google will answer nearly any question. If not, then there are others. There are loads of guides and forums to refer to.
Let me know if you decide to go ahead, I'd like to follow your progress, maybe learn something for my own efforts. I am hoping to jump into this perhaps next summer or fall.