I know there are probably thousands of threads on this, but is it hard to rebuild a unicycle from raw parts? If I have all the parts, but nothing is put together, is it worth it? How much will it cost to build a wheel set out of a hub, rum, spokes, and cranks? Can most local bike stores do this?
It’s pretty straightforward if you have all the parts, but it will probably work out way more expensive to buy the parts than a complete uni would be. That said, you will end up with a custom, one-off ride if that’s what you want.
The hardest part is lacing then tensioning and truing the wheel, but if you take your time it’s not too difficult. I’d go so far as to say with patience any half-competent home mechanic can do it. There are plenty YouTube videos, and loads of how-to pages online. The key point is patience and time. Walk away and come back to it later rather than get frustrated and throw a perfectly good wheel off into a wobbly egg shape!
Otherwise a unicycle is about as basic a machine as you’ll find and not at all complex to build. So in summary, if money is not a major concern, go for it!
Building a wheel is a useful thing to know how to do. I used this thread for my first truly successful wheel build.
If you already have the parts, then it’s absolutely worth it to build it yourself.
It’s not worth it to start buying new parts and assemble them, but if you have patience, and pick up used parts from other riders, then it’s a good way to go.
I built my current “daily driver” this way. Got a frame in trade, a saddle and seatpost from the “Trading Post,” already had a spare set of pedals and cranks, so I just bought the wheel, spokes, hub, and tire new from UDC. (I could have gotten those used also, if I wanted to wait some more, but I got impatient.) So it ended up costing me a couple hundred dollars for a very nice uni that would have cost more than double that new.
You can assemble the whole thing yourself in an evening or two, with the help of some youtube videos on wheel lacing. It’s a good skill to learn, I recommend it.
Good luck!
Before you get too excited take that bottle of rum, sit down and read Sheldon Brown’s wheel building page. If you don’t get a headache and everything still makes sense in the morning go ahead and build the wheel.
Many people get frustrated but with patience, following the directions, and attention to detail you can build a wheel on par with the best bike shops (It will just take you longer). A unicycle frame with a zip tie on it can make a serviceable truing stand. Just take your time, prep your spokes, and use a good nipple wrench. I find the slight premium you pay for a Park Tool Spoke Wrench (regular 3 sided ones) well worth it.
The Rum may not be a good idea…lol
Last time I checked building a unicycle by buying the parts by itself, works out to pretty much the same price as buying a preassembled one. (just checked, on UDC Germany, buying a nimbus trials in parts is actually cheaper than buying it preconfigured.)
Usually the parts work out to about the same. In the U.S. the tax and shipping is what kills you. I was looking at a 19" rim and a saddle from UDC and the shipping and tax was $40 for two items. I decided not to buy. 
I’m not sure it would help on these items, but don’t forget to check other countries’ sites, like the UK UDC sites. The Canadian site seems to have pretty good prices too, but I had really bad customer service from them, but you might have better luck, especially if you’re just trying to order parts.
I’ve saved an average of $100 per unicycle buying from the UDC UK site, even with international shipping and extra bank fees. You will likely pay a fee from your bank for an international transaction, which has turned out to be about $15 USD in my case. Since they offer Pay Pal as a payment method, you might avoid this. You’ll have to do the homework and the math to see if it works out, but at least for me, it usually does. Also, different countries’ UDC sites have different deals at different times, so be sure to check them out.
I guess I always forget about the other companies out there. compulsioncycles has what I’m looking for and for less $. I’ll keep looking around though.
I’m not a fan of getting parts from out of the US, sometimes it is fast, sometimes it takes forever, but I guess if I’m not in a hurry it would be ok.