I'm a build your own guy myself, with a minor caveat.  I generally buy locally and purchase what they call a "base system" - it's a computer with only the ram, cpu and case installed, then I purchase the rest of the components seperately and install them myself.

The reason I opt to purchase a base system?  That way if anything does go wrong with the CPU I can't be faulted for "incorrect installation" thus voiding the warranty.  I've done this with my last 3 systems and I've been very happy with all three, getting exactly what I wanted for hardware with no difficulties whatsoever.

A few years back I actually tried buying a couple of different pre-made PC's, one gateway and one Dell, and I had the same sort of experiences you did I'm afraid.  Nothing but problems from the get go, and since I'm not a big fan of the OS the systems generally shipped with the tech support pretty much went from slim to none when they found out I wasn't even running their pre-boxed OS.

I had one moron at gateway actually tell me that the reason my monitor wasn't getting signal was because I had installed Linux on the box.  It didn't seem to matter to him that I could plug in a different monitor and it worked fine, or that I could take that monitor and plug it into a different computer running windows and it still wouldn't come up.  No, the problem definately had to be Linux, after all, it's an evil "hobbiest" OS that is known to cause such problems.  Apparently it's also been linked to sterility and acid rain - lol.

So after that I steered clear of the pre-manufactured PC's and started just assembling them myself, been much happier ever since.

-Never fear, RenderDog is near!  Oh wait, is that a chew toy?  Yup. ok, nevermind.. go back to fearing...