Building the computer yourself will almost always result in a better machine at a better price. You'll be able to get the components you want and won't have to pay for shipping or labour. The downside, of course, is that there's no warranty if something goes wrong, but everything will have a manufacturer's warranty anyway and it's generally assumed that if you have the ability to put the thing together you can also handle troubleshooting and maintenance.
As for video cards, Lasereth maintains a thread that's stickied here that gives a rundown of the options, but the cole's notes version is that the 8800GT is the card to have at the moment, hands-down. It delivers first line performance at a mid-level price.
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I wake up in the morning more tired than before I slept
I get through cryin' and I'm sadder than before I wept
I get through thinkin' now, and the thoughts have left my head
I get through speakin' and I can't remember, not a word that I said
- Ben Harper, Show Me A Little Shame
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