You save a fair amount by building your own, though to be fair it's a lot less than it used to be. Used to be like 50% savings, now it's closer to 10%. The big reason to build your own is that you can control exactly where you are spending your money and tailor your system to what you want to do with it. You can spend it all on graphics and skimp on everything else, skimp on graphics and plan to upgrade or SLI/CF later, spend as little or as much on your case as you like, etc.
Building yourself also has the added benefit of making later upgrades much cheaper. Many (but not all) OEMs use custom components that aren't compatible with off-the-shelf parts, so upgrades are limited to buying from them. If you build yourself, you can reuse your case, PSU, hard drives, disk drives, and maybe some other components down the road when you decide to upgrade. If you buy a prebuilt, you'd have to sell all that stuff at a huge loss.