Alienware was my last big computer Purchase. I was not very happy with it at all (shipped to me with a bad stick of RAM and less than ideal MB for gaming). For the money I spent (~$7,000) I could have built 2-3 computers of equal quality. If I were to buy out of the box I would go Falcon Northwest. But, for the most part, as others have mentioned, it's worth learning how to build one yourself or getting someone who already knows how to do it build one for you.
I went to the Falcon Northwest customizer, picked all of the stuff I wanted, it came to $7,500. I went to Newegg, picked the exact same components along with all of the little extras and in some cases improved versions of the components and it came to a total of ~$2,500. The Alienware systems are similar. Five grand or a 200% mark-up is a bit much for priviledge have having one of those gaming rig makers slap it together for you imho.