Lots of questions in a short post, but I'll throw in a few answers and some more comments.
Is is worth it? If you're commuting regularly, a dyno light setup is da bomb. You'll never need to worry about "did I remember to charge my lights?" or "I wonder if the backup blinky batteries are still good" again.
TBH, I've never built a dyno wheel, but I've re-trued a couple when spokes loosened. Dyno drag on the bike is un-noticeable. Dyno "humps" on the truing stand are noticeable. It's slightly more difficult than working on a free-spinning hub.
Buy or build is probably going to be a wash, cost-wise, if you're starting from scratch on wheel tools. Labor on the one hand, truing stand, spoke wrench, and perhaps a tensiometer on the other. I'd buy and read a copy of Brandt's "The Bicycle Wheel" before starting. You can get most of the same information from Sheldon Brown's web site, but this old dinosaur has benefitted from having a physical book to refer to. (Although nowadays you may be able to get by with a tablet, though I'd hate to have to clean oil, grease and shellac from the tablet face.)
Building up your first wheel, you should probably plan on a couple evenings. The challenging parts are lacing the wheel, and then final true and tension balancing, and those take more concentration than anything else.
Which hub? I've got a Shimano and a Schmidt. I got the Schmidt for my backup (rain bike) commuter. The Schmidt is supposedly better for moisture intrusion, although the Shimano's probably seen similar amounts of rain. I haven't seen much difference in 10 and 9 years, respectively, between the two. The Shimano is marginally easier to disconnect when I have a flat.