Generally speaking it will cost you more money to get the parts and build the bike. A lot of the bike companies have OEM stuff from the different part companies which isn't as good (less adjustability generally) as the aftermarket equipment.
A cheaper way of building a bike is to get the parts from last year, most things don't really change from year to year, rims for example. They come out with some new ones but I can still find all the good strong rims that were the best 3-4 years ago, they are still the best now.
Shocks (front and rear suspension) are the biggest one that changes from year to year. As the major companies (Marzocchi, Rock Shox, Manitou) design better intermals, externals for an existing shock, or a new one completely the old ones go for cheap. Also demo models are a lot cheaper too, you have to ask about those and see what kind of condition they are in though.
Frames change slightly from year to year, sometimes you get a major change but mostly they just keep some from last year and bring out new ones.
Brakes are interesting. Rim brakes are the old tech, all they do is make them lighter because you cant really upgrade them farther. Disc brakes are the new tech, if you go with cross country models they will be lighter, downhill models are typically made of a stronger metal. Sizes range from 6-8 inches and can have anywhere from 2-6 pistons (Hope Mono 6 Ti). They don't really change from year to year, but even with that being said they will still charge less for the last year model.
This is my vague summary of what to expect about parts and how to get cheaper. Used will always be cheaper but you have to know what the wear points are and what to look for in a used part.

Here is my spec sheet for my bike:
2004 Soul Cycles Titan frame
2005 Manitou Sherman Flick Plus 20mm fork
Shimano XT 6inch rear disc brake (no front)
Block 8 cranks and bottem bracket
Block 8 12 gauge handle bars
Race Face Diabolus Stem
Chris King Pewter 1 1/8 no threadset
20mm Front Formula hub
26inch Sun Rims Mag 30 rim
26inch Maxxis 2.7 Minion DH tire
Chris King Pewter rear hub with stainless steel freehub
24inch Sun Rims Mag 30 rim
24inch IRC 2.35 Kujo tire
I used to have a different rear brake, it was really good. A Hope mono 4 7 inch but the caliper cracked so I went with the shimano.
Here is an old picture:

Sure that I want a full suspension bike and as I do very long downhills (about 10km with an average of 10% incline), I do need the best brakes! I eat mine like crazy. And I need 2 gears shifter. I will look for the price to build a decent bike, I might be surprised. (positively or not)

do you want a cross country full suspension or downhill full squish?

I need a "all-mountain" bike. I need to go up the hilll before going down!

There's a slight difference in the geometry between a x-country and all mountain, I have a x-country bike and the position is not nice at all for these very long uphill/downhill. I tried a all-mountain and I was more confortable. A downhill full squish isn't really good for general x-country or going uphill.

I often go up the mountains, but when the weather isn't nice, I stay on the "flat".

ok, do you have any sort of brand preference? Kona, norco, specialized?

DeVinci!

I can encourage a bike builder from my hometown, no?

I have a Rocky Mountain, while the frame seems good, the component aren't up to the price of the bike, specially the brakes and gear shifters. But the front suspension is good.

Ya, rocky mountains are nice. I had one but the component list isn't the best for the money you pay. Devinci i have no problems with.
One sec i'll track down a frame from both.

Before I got my RM, I tried a Kona. While the gear shifters, was better the front suspension was a piece of crap. I'm not a heavy weight and even at the hardest, the suspension was way too soft. So I prefered the RM with its better suspension.

Here is a 2002 Rocky Mountain Slayer frame 18" with a manitou swinger 4-way for 900



theres another one of these in 19" with an air shock for 350

There is a lot out there, just have to find one for a good price