I think the best part of building your own guitar is you develop a deeper love with it and the ability to design the guitar to your needs. The downside is obviously if it was stolen or lost youd be devistated. Ive built a guitar out of walnut and one out of mahagony and each one was very fun to build. The walnut guitar has the weight of 3 Les Pauls, but also has the resonation of a grand piano.
The most important part when making a guitar is having the length/intonation within scale of your project. If your scale is 25" and your an inch over or under your might not be able to correct the intonation with the screws and that equates to incorrect intonation across all strings which in very noticable when put against other instruments in a recording.
I made templates before putting the cutting tools into the wood. This allows you to shadow precise measurments... thus saving time across future guitars. A smooth wood such as birch is great for templates.
Using a sheilding paint on the inside of the electronics cavity is also nice for keeping unwanted "noise" out of your signal.
I think the most important part would be to take your time and do a little research... because you will hear it in the finished product.
Like treeline said stewardmcdonald has great products that some guitar manufacturers actually purchase from.
Its great to get creative too, as you can see in the pic of the back of the guitar... i chose not to make a cavity for the 1/4" plug insert, but to make a slit so I could drop the nut into the slot to accept the threads... works very nice and also I keep some of the wood for my piano-like resonation
For the paintjob I went to the local Auto store and got 2 cans of silver metallic touch-up paint for cars and gave it 5 good coats and 5 coats of clear. about $20 in paint compared to a $400 custom paint job.
I copied the monkey grip design from the JEM style guitars, but used alot of sanding to get a feel almost like Harley handlebars.
So, I saw a flaw in the ibanez design and implemented a fix into my axe. You're your own R&D man.. which is priceless.
http://home.mindspring.com/~marcomb/guitar.jpg