We bought ours Tony. We did it that way because it was right where we wanted it to be, about 20 yards from her sister's place. Plus it was cheap, ฿335,000.
I had always had in the back of my mind the idea of building a place myself (or at least standing around watching other people do it!) but I reckon that unless you want something quite different from what's already available, there isn't really a particularly strong argument for putting yourself through all the headaches and hassle.
The other very good reason for building your own would be location. If you found the perfect spot, and it didn't have a house there already, then that would, obviously, be the right thing to do.
As for potential pitfalls, I think there's quite a long list!
Building your own, you've got to find the builders, they've got to be reliable and stick to the quoted price. Often that price doesn't include things you might think it includes, like a plaster finish on the walls, paint etc. Another thing that I've heard people mention, is that they contracted out separately (or wished they had!) for the electrical wiring and plumbing.
That's one area where you can benefit from building your self, as you get to make sure that the wiring is of a good standard, wall sockets/switches in the places you want them etc.) Alternatively, I suppose you could rip out the wiring on an existing property and have it re-done.
Then there's the land office stuff to sort out, what kind of title deed exists already on either the land or the house, getting it transferred, or changed etc. Pains in the bum with both options can be expected.
So, I suppose it comes down to a few things really; location being the most important, price and how many times you fancy saying "they've done what???? and it cost how much???"