You can't just build a Mac. You can build a PC, and run a hacked version of OS X on it, but then you can't update it normally, because it breaks the os. And if you don't use exactly the same hardware as a Mac, you can be plagued with all the driver problems that Windows PCs can have.
Intel Macs don't have a BIOS, they have EFI, so even if you do get OS X running on a PC build, Boot Camp will not work.
Another option is to scour sale sites to try to find actual used Mac parts, and piece one together that way. You'll actually end up paying more to build it this way, as the parts are ridiculously expensive.
Your only other option is to just buy a Mac already. It will save you a ton of headaches. After fighting with OS X on a PC for months, I finally just broke down and bought an Intel Mac. Trust me, it was worth it.
Short version= It's possible to build one, but not worth the hassle.
Oh and @ everyone else - Macs don't take special hard drives and ram. That's just a scam. I run el cheapo DDR400( READ: Whatever is on sale) in my PowerMac G5, my Bro-in-laws PowerMac G4, and in my former iMac G4. I also run Plain old Corsair SoDIMMS in my iMac, along with combinations of Seagate, Western Digital and Hitachi hard drives in all of them.
The only things you have to really worry about are add-in cards (Sound, RAID, gfx, etc.). They have to have Mac specific drivers or BIOSes/firmware. And you also have to be careful with CPU replacements/upgrades on anything before an Intel Mac. You have to do your research and make sure what you want is compatible with your exact model. Even if it's from the same line (like PowerMac for example), the board can be completely different from a 1.6Ghz model, to even just the 1.8Ghz model.
And 64bit Vista does not work properly with Boot Camp. There are no drivers, atm.