I have built a semi autonomous drone out of parts ordered off the Internet.
When I was in school we wanted to make something like this for our senior design project. But we ran into difficulties in the early planning stages when we discovered there were very little off the shelf parts for doing stuff like this. You pretty much had to repurpose RC car/airplane parts, which in many ways was not ideal. Even if you could get a good build you had to design a flight control system which with a quad is notoriously difficult.
That was with a group of people. Now you can do it in a weekend or so singlehandedly with soldering skills and basic electrical sense.
Now flight controllers are basically commodities. You can get them for as cheap as around $10 (CC3D controller) or as expensive as a few hundred. The component parts have fallen in price so much as well.
In addition to all of this there are various vendors that will sell you a completely finished design (no assembly required, like buying a toy) for less than $300 or so at the time of writing this. But that is no fun! Basically the same logic as building your own computer applies. If you want full customization or performance and ability to tweak things without having to rely on official accessories you are still better off building your own. Also if you crash it, it is much more difficult to total your aircraft.
You can see the specs for the pixhawk here:
This controller is capable of fully autonomous flight with a GPS module. The 915 MHz telemetry module allows for remote control functions beyond what your RC controller allows. Assembly is a little more tricky since you have quite a few things to fit on a given frame. I have mounted a camera below the drone (not pictured). So far I have been able to take some pretty cool photos.