The best results come from buying the motherboard and the CPU together. They are tested for compatibility when they are assembled before they are shipped. Not all motherboards support all CPUs, even when the socket pins line up, and getting the wrong combination can cause a lot of headaches.
There are areas where costs can be cut to save money when building your own system, such as the amount of RAM you install initially, the size of the hard drive, and etc, those things that can be upgraded later, but the motherboard and CPU is where the money needs to be invested.