Welcome to bleepingcomputer!
If you feel comfortable in doing so, building would be better in my opinion.
First off, you know what you're getting. Sometimes manufacturers like Dell use generic motherboards, power supplies, ram, cases, etc.
Second off, you have a wider variety of choices such as cases that light up, and have side panels, and multiple fans.
Third off, if you're going to be building a computer that cost more than $400-$500, you'll be saving money. A lot of times, companies charge extra for gaming and performance computers, when you can build a similar, if not better system for up to hundreds less! If you want something in that lower price range, you can still build your own, but you probably won't see a big price difference. However, like i said, you'll generally get higher quality parts for the same price as their generics.
However, finding the right parts, and building the computer itself takes some time, but usually only a few hours. Just do some searching on the internet, or we'll gladly help you out too with anything you're confused with! Some people think building their own computer may not be worth it, but myself and others actually find it pretty fun, or why else would we be here on this forum
If you let us know the games you want to be playing, and your price range, let us know. Also, tell us if the price includes a monitor, mouse, keyboard, speakers, etc., or if you already have that stuff.
"I think there is a world market for maybe five computers." - Thomas Watson, Chairman of IBM, 1943