Quality of parts mainly for me. Dell may sell something similar to what you could build but for less because they use cheaper parts. You may have a nice heatsink on your build costing you close to $50, it will work great, can't say the same for the Dell, same thing with power supplies. Those are the two places a lot of money is cut from (well, they are the #1 reason for computers getting thrown out where I live). A local shop just threw out 50 2.2 gig P4's because the power supplies were bad-those bad boys are sitting in my shed now. Total cost? About $13 in gas to goto town round trip, then the cost of the replacement parts and I am in business.
Edit: E-Day posted while I wrote that up there:
Keep in mind, some pre-builds like HP and some others block you from using certain parts that aren't from them officially. I ran into this problem with a power supply for a Compaq, if I could have used a normal power supply it was going to be $45 for one that would fit it. Since they used proprietary power supplies that no one is exactly sure on what is different, I had to spend $225 for one from Compaq themselves.
Also, I have run into Dells that won't let you use Nvidia video cards at all, but an Ati boots up just fine. Weird.
About the case, just get one of the "Wii" PC cases