My experiences:
I built my own machine a year ago last month, and I went with method #4. I wasn't a fan of this method. It meant that I had to keep track of a variety of different stores, and I swear that every single one of them had a different shipping policy when it came to shipping to an address that was different from your billing address.

Recently, I advised my girlfriend to order everything but the monitor and keyboard (she wanted a certain keyboard) from Newegg.com. Aside from the store losing her order when they had a problem with the alternate address, it was much simpler, and there was only one payment for a variety of components.

That's just the way I saw it. In the future I'm willing to give up the few extra dollars I can save by going with one good company for everything.