the issues with build v buy really come down to additional features and case size.
If you want a 1U server, buy it - really, putting the bits in is not worth the trouble, especially as you can't use standard PC bits, they all have to be low-profile, and then you also have to get the airflow right.
2U its a little better, you have more options but its still probably worthwhile to buy.
4U, you could build one - its basically just a PC case on its side. However, we now get into the additional features part: if you build a PC in a rack case, fine, but every 4U server I've worked with (eg Proliants and the like) come with hot-swap capabilities, pull-out drives, even the bits that aren't hot-swap are very easily accessed (and all screwless, you can replace a network card in seconds). In addition, there will be diagnostic indicators all flashing at you when something goes wrong (eg in the network card case, you can tell what made the server fall over because a little light was on in the slot where the network card sat).
Then there's also features like lights-out management, and diagnostic software (but you can get this yourself with an appropriate card, and stick Linux on for better diagnostics than many manufacturer's software)
Issues: with a bought server you're going to have to use the manufacturer for parts, you can't just buy any old network card to replace the old one - not if you want the same features. This means you either have a spare lying around, or support from the manufacturer - some do 4 hour onsite replacement - or you have the time to spend fiddling with the diagnostic utilities to prove to the support guys that the part really has failed (that can be a real nuisance - first thing they ask you to do is run the diagnostics, and they can take hours, only to get a replacement HDD that you know is bust because it rattles when you shake it). If you've built your own, you can buy a spare and slot it in without fuss. This is most relevant if you buy a 2nd hand server - in which case, my advice is to buy an extra one to be used for spares.