I am not sure what you mean by "build". I have "built" DACs in the sense that I designed DAC ICs (mostly, not many discrete designs) at the transistor level (albeit mostly well above audio frequencies). I am guessing you mean to buy the interface and DAC chips, and perhaps design and build your own output filter and buffer? Will you design your own PCB's and such?
Performance will generally be much, much higher for delta-sigma designs. The early issue have been solved for many years so if you want the absolute best performance something like an ESS DAC is likely your best bet. R2R (which are usually segmented, not purely R-2R designs) DACs are getting hard to find these days and will have higher distortion and noise though probably inaudible for the most part. Still, they have the "nostalgia factor", and if you find you prefer them by all means go for it. Soekris (IIRC) has some interesting designs available as boards.
Be aware that the output filter and buffer (often an I-V converter incorporating the anti-imaging filter followed by an output driver) are critical and probably contribute the most to the "sound" of a DAC.
If you need more basic info about the technical differences, I have a series of introductory articles on ASR (Audio Science Review) that describe conventional and delta-sigma DACs, as well as introductory articles on sampling and such (that I assume you are past if you going to design your own DAC).
FWIWFM - Don