Well, I guess you could, but you'd have to search all over the place for hardware. By the time you had all the parts to build it, you would've spent much more than just buying a new Mac. Also, as of right now you can only build G3 and G4 systems. It'd be a waste of money to try and build a Mac. If you really want OS X, then you'd be better off just buying a Mac.
If cost is a problem, then it would be best to either buy a Mac Mini, or find a used PowerMac G4 system.