Well, if you're a beginner you probably can't build a really nice PS, more likely a POS. If you know what you're doing you probably already have a PS or three.
It, like everything, comes down to time and money and parts. If you have time and parts, but little money, it makes sense to build a good supply. It really should have both constant voltage and constant current modes. Power supplies lend themselves to scavenging, as so many things already contain suitable parts.
If money is easier for you to come by than time (you can always buy parts) it's probably best to look for a good commercial supply by a well known maker. That means HP or Kepco for used stuff. There are also some decent new supplies if you have the $$. Watch out for digitally controlled supplies with menus like the B&K. It's so cumbersome to simply turn the output on and off that it's a hazard to your projects. This is a case where switches and knobs make more sense.
I use some big Kepco supplies, one for plus, one for minus, but I was lucky to find them surplus. At work we use a 3-output Xantrex bench supply that's very nice. It would be the ideal home lab supply, but probably too pricey.