I love building computers. At least for computer gaming anyway, it's what separates it from just another "gaming" thing, and into a full-blown electronics hobby.
As far as I can compare, it is cheaper. A LOT cheaper. Like, $200+ cheaper. Computer stores tend to assume their customers are morons, and don't really do anything to cover up the excess fees. This is when buying whole computers and parts - when getting your components, I recommend buying online.
As for "intense computer knowledge"? All it takes is a lot of a common sense and a little know-how and trepidation. You have to be wary of every purchase, as if it was your last. Try and get the best bang-for-your-buck, while at the same time don't go cheap - it's not easy, far from it, but it's less computer and electronics knowledge, and more reading and comparing stats and numbers. Just be absolutely certain every part is compatible with one another - once you've picked your motherboard, every other component will tell you if it's compatible from there.
Assembling the computer once you have all the parts is easy, but (look), I'm gonna say Google it (like a *****). There are a lot of "hidden rules" you have to abide to - the kind that prevent static discharge and such. If you can, find a friend to help you, preferably one with equal or more knowledge to you with computers. If you treat it like assembling furniture, it'll get you halfway there - except when mucking with electronics, you have to be careful with a whole lot more variables. As long as you follow the instructions of whatever tutorial you happen to find, and don't, say, try to jam a RAM stick into the video card slot, you should go through without a hitch. And if you do have a major problem that destroys something? That's what warranty is for.
It can be a fiddly job at times, stupidly easy (like assembling LEGO) at other times. But it's almost always worth it, and the joy of switching on a PC you just assembled, without it shorting out or BSoD'ing on start-up, is one of the most immensely satisfying feelings in the world.
So yes. Common sense. Caution. Follow manuals and such. But most of all, have fun with it.
Hope that helps, because it took ages to write... >_<'