The only thing to gain by building your own, is the experience of having done so, and being able to pick your exact components.

If you're not looking at a high-end workstation/server, but instead are trying to save money on an average machine, a pre-built is almost always the way to go.

I've never even touched Windows Home Server, so I can't help you there.

Pioneer PDP-5020FD, Marantz SR6011
Axiom M5HP, VP160HP, QS8
Sony PS4, surround backs
-Chris