Building your own computer can be quite satisfying, when you succeed in building, configuring and finally loading all the OS, and other software.
Downside?: TIME. It takes WAYYYYYYYY more time to build and configure your own unit than to simply buy one retail. And, there are some good retail-boxed values out there now a days.
About 12 years ago, I built my first computer for my office in a Raid Array for network configuration and redundant back-up. Back then you could buy quality parts and the end result was a better computer for less money than you could buy one at retail, especially in/with RAID-based systems.
So, you need to ask yourself why you want to build it. If it's about the challenge of putting the parts together, buying/ loading the OS and supporting software, regardless of time, cost, components and software ~ then great.
A bit of BIOS knowledge/insight (for your particular setup) is also helpful but easily found online.
Today you can buy a lot of computer for about or even less than the total cost of parts to build. And, the parts used in less expensive ready-boxed computers is/are fine. Maybe not the best, but good enough for most users and they will usually last long enough for most users.
You mentioned that you will be using CPU intensive applications. The nice thing about buying parts is that you can hand pick your Power Supply, GPU, CPU, Memory, Motherboard and so forth, BUT, if you are buying good quality, it will likely NOT be cheaper than a similar retail boxed unit.
You can opt for liquid cooling (or other high-end cooling options) for the CPU, better quality RAM, SSD and other drives. Places like Fry's have a good selection and they also have sales persons there who can guide you (if such a store is within your geographic area!).
It is a rewarding outcome when you successfully build a computer. But that reward will come at the cost of time, money and effort on your part! End result? Your Own Custom Computer!
PS, don't forget the case, power supply, fans, cooling, Motherboard, RAM, Solid State Drive, Spinning Drives, Graphics Card, Sound Card/Speakers, Monitor, Camera/Mic Combo, OS Software and ancillary software.
Make sure you have heat-sink paste, basic tools, and plenty of time!
Good luck, have fun!