Definitely build your own rig. It's like building Lego and you learn a lot in the process. It is not complicated at all.
Two things I would recommend: Ivy Bridge generation Core i7 and the new 680 (or the even newer 670 which is MUCH better value for money and only around 5-10% less performance) from Nvidia. Oh, and a mid-range SSD. That will make your rig lightning fast, no matter what other components you choose. Also, both these parts are surprisingly energy efficient so you don't need to shell out an awful lot of cash for things like PSU's.
I can also recommend the Corsair chassis. Great value for money. Especially the Corsair Carbide 300R, that's cheap and very easy to build. Add a 650W PSU and you're good to go.
Crap, I can't help but recommend a motherboard too. I have been very impressed by the Asus Sabertooth Z77 motherboard. Not very expensive but great for performance and overclocking.
Ok, apparently I have to make a list because I love lists
Case: Corsair Carbide 300R, $80
PSU: Corsair TX 650W v2, $90
CPU: Intel Core i7-3770 Ivy Bridge, $320
Motherboard: Asus Sabertooth Z77 LGA 1155, $240
RAM: Corsair Vengeance CL9 2x4GB 1600MHz, $50
SSD: Corsair Force Series GT 120GB, $150 (just a suggestion, I am sure there are other SSD's that are equally good)
Hard drive: Samsung EcoGreen F4 2 TB, $120 (just a suggestion too..)
GPU: EVGA Geforce GTX 670 2GB, $400 (or the Gigabyte one for $20 more, personally I prefer Gigabyte)
Total sum: $1450
Let's say $1500 with a DVD burner, or