For a builder's perspective go to www.tweakaudio.com and read Ric Schultz's take on the subject. He is no longer making/selling his acclaimed Millennium DAC because he feels he can get better results modding existing SACD/DVD players. A big part of it is the ability to better control jitter and avoid using another interconnect, and I agree with the others that you'd have to spend a boatload on separates to get significantly better sound than some of the better one-box players out there. Best of luck.
Tim
Tim