I was pretty happy then, when I saw this site LFS Project Homepage (Linux from Scratch) which is a free book/tutorial which shows you how to do it from source (in a step by step, from the beginning way). The tone of the tutorial is relaxed and friendly (alot like here!?!) and its all available from the website (link at the bottom!)
So why would you want to build your own? Well firstly, if you want to be as well known as Mark Shuttleworth or if there is a particular direction you want your distro to take. Really, as they say, the world is your open source oyster.