I am building my system over time right now and I am taking Fender's approach - Go with the most technically stable components first (case, sound card, power supply, HDD, etc) and the technical fast burner components (MOBO, CPU, GPU) last. I've been doing this since October and allow myself about $200.00 each month. This months purchase is the RAM. In a couple of months, I'll have my car paid off and I can spend a little bit more ($500.00 each) on the CPU and the GPU. I'll be done with the build by July and I'm looking forward to seeing what I end up with for $2600.00.
I totally understand the folks that say "save up and get it all at once", but I'll also defend the build over time approach. The guy that would have saved the $200.00 per month and bought his system all at once several months later does have one big advantage - warranty. With my build over time approach, If I have bad HDD from New Egg, I won't know it until I build the system and that might be 8 months after the purchase. It may be too late to return the item then.
On the other hand, you might be undisciplined (like me) and find it hard to put money aside each month and not buy something else with it while it accumulates (XBOX, MP3 player, 32 inch plasma TV, etc). With that human limitation, building over time has an advantage. You are getting your fixes for technology in little tastes at a time without feeling like you are totally depriving yourself of computer goodness while you save up. So I understand the pragmatic reasons for saving up and buying at once, but I still think buying in bits and pieces at a time has its advantages for some folks.
Rob