Well I'm the King of Build it Yourself
You can check my Rig out here
Slaymates Rig
Here's a decent little guide to building your own PC, check it out. Building your own is really pretty easy, the hardest part for a newbie is actually picking out the right parts and I can help you do that
Build a PC - Introduction to Building your PC - PCitYourself.com
As for buying the parts and shipping and warranties. You'll be buying all of your parts from one place, they have good shipping prices, some of them will even have free shipping. Warranty, all parts will have a warranty but it will vary, some parts have 1 year some have 2-3 year warranties. All the parts I recommend will be from reputable manufacturers.
You asked about the Alienware Liquid-cooled option. I won't recommend it, it's a pain in the arse and it really is more of an option for an advanced user/builder.
Watch that Guide I linked you to a few times and if you think your up to it let me know and I'll start picking you out some parts. I can save you thousands of dollars