I have built one, in fact my primary machine at home is a hackintosh and has been for about two years. It's a great way to save some money and get some cutting edge hardware, but you will burn lots and lots and lots of time tweaking it, getting frustrated, rebuilding, and reinstalling. After three months (being a high school teacher I had a bit of free time two summers ago) I was able to get my machine very nearly 100%. There are still some oddities with audio from the hackintosh mobo, which I've since replaced with a USB dongle.
My biggest recommendation is to do lots and lots of research. The best place I've found is
tonymacx86, although there are some other good resources and some people dislike tonymacx86. They have some excellent Golden Build articles throughout the site and in the forums.
My current build is approaching two years old, here are the specs:
Asus P8P67 Pro mobo
Intel i7 2600K (3.4 GHz)
16GB RAM
Dual Radeon 6870s
I've upgraded the video cards to:
Dual GTX 680s
I've been very happy with the machine, overall cost initially was around $1000. I've probably put an additional $800 testing out various pieces and upgrading the video cards.
One note is that I needed the dual video cards to support my three Apple LED Displays, evening out the mini-displayport and DVI-mini-displayport connectors. You can probably save lots by scaling down to just one video card.
I have saving up for a new Mac Pro instead of going through the whole Hackintosh experience again, but this only because I've saved up enough to buy a Mac Pro (now if Apple would just update them). I may build some nice hackintosh media centers in the future (Plex is great for this), but probably shy away from building a new primary computer.
And since I'm ranting at this point; one of the pieces of my hackintosh I am most proud about is the following case:
http://www.newegg.com/Product/Product.aspx?Item=N82E16811352005
Which I believe you can still find in some small retailers. Absolutely beautiful, simple, well-designed, and well-organized case. Highly recommend it.