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I assume you are talking about buying a cheap mechanical keyboard - there are many advantages in terms of membrane vs mechanical keyboards that I could go into but that can be quite easily searched for if you are interested.
Standard cheap mechanical keyboard offerings are usually blue (clicky), brown ("tactile"), or red (linear) switches. I used to use a cheap mech with blue switches. Building your own keyboard allows you the freedom to choose whatever switch you like - there are many choices with different feels, weights, sounds etc which are hard to describe but is very noticeable when you try it.
Many of the cheap mechanical keyboards that you see come with keycaps that are the same across brands, models, etc. There is a whole subset of custom keyboards which is the keycaps - you can have different profiles (shapes), colours, material, doubleshot/dye sub (basically how the different colours are created on the keycap), etc. The keycaps affect the feel and sound of the keyboard as well. You have the option to choose exactly how the keyboard looks. Personally I use my keyboard a lot so it is worth it to me to make it look nice.
Having to hand solder a keyboard also allows you to gain a better understanding of how it all works - personally as a result of this project I researched how switch matrices work, why you need diodes etc. I enjoy soldering so this was a fun project to hone my skills.
Building custom mechanical keyboards is a hobby for many people (see /r/mechanicalkeyboards), but for me, most of all it's about the satisfaction of printing and building something that is functional. I enjoy using this keyboard on a daily basis, and it is a relatively cheap and interesting introduction to custom keyboards.
Hopefully this answers your question :)