You should custom build - it's not like the bad old days when you had to deal with IRQs etc. With windows everything is plug and play. You can get best of breed components for a lot less - especially if you go mail order. Also if anything goes wrong you will know how to fix it - sure they have maintenance contracts, but who wants to be down for a couple of days? - and these cost money!
If you're adventurous you can get an AMD cpu because they are easier to overclock so you can get more bang for your buck. Also AMD compatible motherBoards tend to be less expensive. If money is no object and you don't like to tweak once your up and running then a pentium is better.
A good place start to get information is
http://www.tomshardware.com
[ April 01, 2003, 20:56: Message edited by: rextorres ]