It's definitely possible, and it's not even that hard if you're buying the parts with the intention of running OS X on them.
Most of the difficulties and incompatibilities people experience are due to attempting to try out OS X on hardware they already have. They may have an AMD system which needs a Voodoo kernel, they may have a Radeon 4xxx which will only work in VESA mode without hardware acceleration. Of course these things can be made to work, and it is getting easier all the time, but it's more effort and it's where the bulk of the problems come from.
Once you do get your Hybrid Mac working (as I affectionately prefer to call them) it still won't be as perfectly painless as the ideal (note: not actual!) Mac owning experience. But still, with a little common sense you get a lot more computer for a half or less of the price.
Edit: as for running OS X in a VM on a PC, it's really not very nice at all. It's a tremendous hassle to get it to boot at all, and even then it's not very usable as an environment, often without working sound/LAN/etc. You can obtain complete VMWare images of OS X which may not even work inside different virtualised environments!
