Which one is less expensive for a great gaming PC and where can i buy the PC or the parts?
You should definitely build it from parts, here are some reasons:
1. It's a lot cheaper
2. it's a great experience
3. it's not that hard
4. you can customize it your self

If you have any trouble deciding, go to your local computer store (if you have one) they can point you in the right direction and a lot of times they can help you troubleshoot if you have any problems.
you don't need any programming experience.
here is what you need to build a decent gaming pc:

A motherboard, some good brands are Asus, Gigabyte and intel(not for overclocking).
A CPU, you can use either AMD or Intel (I prefer Intel but they both work).
Ram, your going to want at least 2gb
Graphics card, Ati or nVidia ( I recommend the nVidia GTX 260 or nVidia 9800 GT)
Hard Drive, Something fast. Any brand is fine.
Optical drive, Lite on is what i use.
Case, you should go with a full tower to keep everything cool.
Power supply (If your case doesn't come with one), at least 500watts.
An Operating System (windows vista is pretty much your only choice for gaming, but you could go with linux).

Here is the site i use: http://www.newegg.com/

If i were you i would build it.
Buy and assemble the parts yourself. That way you know you're getting exactly what you want, and it's cheaper too. There may be a little labor involved, but it's actually a lot of fun and is a good weekend project.

Also with prebuilt PCs, they're generally crippled so you have few upgrade options and the BIOS has limited features. So stick to custom DIY builds. Whoever says it's better to buy prebuilt, such as that xinyang guy, obviously has NEVER built a PC before.
For parts I would check out www.NewEgg.com and for help on building your PC and choosing the best parts www.Overclock.net is an awesome community for all things computers.

As far as which makes more financial sense that really depends on a lot. You can usually buy a PC with the same generic specs for cheaper than building it (ie a computer with a 2.4 ghz dual core proc, 500gb HDD, 3gb RAM) but the overall quality of the components is going to be less and offer far less customization as far as overclocking and ram timings ect.. Furthermore the lack of these things can effect your PC's performance if you are going to go supper technical and fine tune all these settings. On the flip side everything is set up and running an you have a support network when something goes wrong.

So it depends on what your ultimate goal is. If you just want to play games and want little hassle, go for a pre-built PC. If you are actually looking at PC's and PC building as a future hobby/interest and you really want to get your hands dirty and spend time getting everything adjusted and setup just right and researching parts and proper configurations, then go with making your own.

I would say to make the final decision find a pre-made PC you like and then price up building that exact same PC on New Egg and go from there.
I suggest you buy a full gaming PC, instead of buying the parts and assembling it yourself, that way you can use it as soon as you buy it and not waste time assembling it. Try this site, You could get a good gaming PC for under $1000 (depending on the specs you want).
Buying the parts and assembling it yourself is always cheaper to do it your building a gaming PC. Also you can customize it exactly how you like.
Assemble it yourself; that way you know exactly what's going in.

www.ncix.com (canada/usa)
www.newegg.com (canada/usa)
well if you know how to build it and program it well yes it will be a lot cheaper………of course you will need a good graphics card for your computer and ram as well as a fast hdd…………..I.T expert