Looking around on the internet it appears that there are many castles here in the U.S. for sale. Everything from modified homes to full-on castles built by castlemagic.com. The good thing about buying an already built castle is skipping the headache of building it and if you get an old castle, then you have the added interest of owning a historic property as well and maybe the added plus of some neat historic architecture and details as well.
The drawbacks? You're limited to where the castle is located, which may not necessarily be where you want to live, and you're living in someone else's dream home. Additionally, some of these places can be pretty pricey to boot. I don't think I've found one that is really neat for less than $1M dollars.
If one were to DIY you have to deal with all of the headaches of design and building the structure, purchasing the land and the fear that once you've started on the project, life or finances could interfere and you'd have to leave it before you could enjoy the fruits of your labor. It's not a run-of-the-mill house you're building that you could find a similar replacement house anywhere in the country, no - it's a potential work of art that could last ages and be a family treasure if you're lucky. The upside of DIY is closely related to some of the downside; it could be a treasured family heirloom, and DIY can keep the costs down to a manageable level for the average person. You are also building something that is from your own imagination, not someone else's. Life interfering - well, that could happen to anybody at any time so you just have to get over it.