Asus is Great
Asus gets its good reputation from delivering great quality products to us at very reasonable prices. I've built several Asus notebooks for myself and others and have used several different models and would highly recommend them all.
So to answer one of your questions, yes - buying the parts yourself and popping them in is definitely the way to go. If you don't know how to follow simple, printed directions... then have a notebook built for you. On the other hand, if you have 15-30 minutes to spend following instructions on how to install the CPU, hard drive, wireless card, etc. into the noteboook, then DIY!!! For the hundreds upon hundreds of dollars that you save by simply doing it yourself, I could never say no. And it's always entertaining to tell people that, yes, you did build that sexy laptop.
It sounds like you want a pretty powerful setup... I might suggest the Asus W3J+ chassis which includes an ATI X1600 256MB GPU. It's a dual-core notebook, and supports both the current T2x00 series CPUs as well as the newest T7x00 series CPUs, as well as DDR2 RAM, etc. (This is my personal choice for a notebook chassis though, so I'm a bit biased.) High-end Dell XPS laptops, i.e. M1710, are also nice, but pricey.
As for where you buy the parts, I'd start at Newegg
for the memory and hard drive. I rarely find better deals anywhere else, and Newegg gets you your items in just a few days. CPU and wireless adapter I tend to purchase on eBay - wireless for about $40 and CPU for $300 or less. Hope this helps.