Ok, building your own guitar is a whole nother can of beans. Depending on what you want to do it could be a relatively easy job and get increasingly complex. Go to harmonycentral for building resources:
http://www.harmony-central.com/Guitar/other.html
Here there are many, many sites giving advice, products, etc.
The first guitar I "built" was relatively easy and fairly inexpensive (<$500). I love it and it is still one of my favorites. I really assembled it rather that built it. I had a neck I really liked and bought a beautiful warmoth ask body. I then did some routing, but in pickups from another guitar, installed the bridge, put on a basic clear coat satin finish (sprayed on).
The particular areas of guitar building which I think are fairly difficult include:
*the body's finish - if you want a hard, high gloss, or car-coat type finish
*cutting the nut slots
*building a neck
These are things I have not ventured into, though you will find others on this site with considerable experience. At this point in my life, I don't mind outsourcing these tasks to professionals. Mistakes in these areas could really mess up your guitar - its sound, look, feel.
Other than these, I think it is fun and rewarding to build your own guitar. One thing to remember is that these guitars would never be "worth" anything in the sense of collectors, versus a custom job by a known builder, or something off the shelf. But I think guitars are to be played and you really learn quite a bit about what goes into making a guitar work well and sound good.