Building up your own bike can be very rewarding. When you're done, it's more "yours" than any other bike you'll ever own!
There are plenty of used frames on Ebay. The key is knowing what size frame you need, and being able to judge condition from the pictures. Another thing is, although many of the parts simply bolt on, there are some like headsets and bottom brackets that may require specialized tools. I built up an old steel frame I bought on Ebay, and also took down another bike to have the frame repainted and then built it up again. In both cases, I had a local bike shop handle the headset and bottom bracket, and handled the rest myself.
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"Don't take life so serious-it ain't nohow permanent."
"Everybody's gotta be somewhere." - Eccles