My first desktop was prebuilt, and while it did what it was supposed to do, I feel like I could have gotten better hardware for the same price. The second time around, I selected my parts on my own, had them shipped to my house, and built my computer myself. I was really happy with the easiness of the assembly, as well as the performance at a slightly cheaper price.
There are cases where a prebuilt can actually be cheaper than building yourself (Windows licensing discounts, volume discounts, etc), but I like being able to select high quality components that fit my needs, rather than relying on a hope that the company knows what they are doing. I've heard of them skimping out in a couple places that make upgrading harder down the line, which I don't like. Also, I know exactly what's in my computer, because I chose it. It gives me that feeling of "I made this. This is mine," which is really rewarding.
Unfortunately, you can't custom build laptops. If I could, I would.